What is expected return and volatility of market portfolio

Assignment Help Financial Management

Reference no: EM131450043

Suppose you group all the stocks in the world into mutually exclusive portfolios? (each stock is in only one? portfolio): growth stocks and value stocks. Suppose the two portfolios have equal size? (in terms of total? value), a correlation of 0.50.5?, and the following? characteristics: . The risk? free-rate is 4 %

a. What is the expected return and volatility of the market portfolio? (which is a 50dash–50 combination of the two? portfolios)? b. Calculate the Sharpe ratios of the value? stock, growth? stock, and market portfolio. c. Does the CAPM hold in this? economy? ?(Hint?: Is the market portfolio? efficient?)

a. What is the expected return and volatility of the market portfolio? (which is a 50dash–50 combination of the two? portfolios)? The expected return of the market portfolio is ___?%. ? (Round to one decimal? place.) The volatility of the market portfolio is ____?%. ? (Round to one decimal? place.) b. Calculate the Sharpe ratio of the value stock.

The Sharpe ratio of the value stocks is ____. ? (Round to two decimal? places.) The Sharpe ratio of the growth stocks is ____. ? (Round to two decimal? places.)

The Sharpe ratio of the market portfolio is ___. ? (Round to two decimal? places.)

c. Does the CAPM hold in this? economy? ?(Hint?: Is the market portfolio? efficient?) ? (Select the best choice? below.)

A. The CAPM does not? hold, that? is, the market portfolio is not? efficient, because the market portfolio is not the portfolio with the highest Sharpe ratio.

B. The CAPM does not? hold, that? is, the market portfolio is? efficient, because the market portfolio is not the portfolio with the highest Sharpe ratio.

C. The CAPM? holds, that? is, the market portfolio is? efficient, because the growth portfolio is not the portfolio with the lowest Sharpe ratio.

D. The CAPM? holds, that? is, the market portfolio is not? efficient, because the market portfolio is not the portfolio with the highest Sharpe ratio.

Reference no: EM131450043

Questions Cloud

Write an analysis on company which will include statement : write an analysis on the company which will include but is not limited to (1) Financial Statement, (2) Capital Structure (valuation of stock and bonds).

Identifying conflict areas and stakeholder engagement : PPMP20011 Projects Negotiation and Conflict Report - The Projects Negotiation and Conflict Report is a communication tool that is used as the basis for managing negotiation, identifying conflict areas and stakeholder engagement.

What are the three levels of analysis : Let's assume you have been offered a job by Jekyll Corporation, a company in the consumer products industry. The job is in your chosen career path.

Hong kong dollar and the chinese yuan : Hong Kong Dollar and the Chinese Yuan. The Hong Kong dollar has been long been pegged to the U.S. dollar at HK$7.83 / $.

What is expected return and volatility of market portfolio : What is the expected return and volatility of the market portfolio. Calculate the Sharpe ratios of the value? stock, growth? stock, and market portfolio.

What salary represents the minimum offer you would accept : What starting salary will you give Gabriel? What salary represents the minimum offer you would accept?

Would that change whether you had be willing to take the job : Assume you've received another offer, this one from Hyde Associates. Like the Jekyll job, this position is on your chosen career path and in the consumer.

What is the companys cost of preferred stock and Rps : what is the company's cost of preferred stock, Rps?

What is the yield to call if the bond is called at nine year : What is the yield to call if the bond is called at nine years (state as an APR)?

User Account

All Pages