What is the expected value and standard deviation

Assignment Help Financial Management

Reference no: EM131515327

You manage a risky portfolio with expected rate of return of 10% and standard deviation of 20%. The T-bill rate is 2%.

(1) Your client chooses to invest 60% of a portfolio in your fund and 40% in a T-hill money market fund. What is the expected value and standard deviation of the rate of return on his portfolio?

(2) Draw the CAL of your portfolio on an expected return-standard deviation diagram. What is the slope of the CAL? Show the position of your client on your fund's CAL.

(3) Suppose that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 8%, what is the proportion y?

(4) Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio's standard deviation will not exceed 16%, what is the investment proportion y?

(5) Your client's degree of risk aversion is A = 4, what proportion, y, of the total investment should be invested in your fund? What is the expected value and standard deviation of the rate of return on your client's optimized portfolio?

Reference no: EM131515327

Questions Cloud

The expected return from holding a swiss bond : Is the expected return from holding a US bond greater than or less than the expected return from holding a swiss bond?

Explain the importance of hci and usability of the software : Summarize the human-computer interface (HCI) of these two software applications. Explain the importance of HCI and usability of the software.

What is variable cost per unit : Using the high-low method, what is the variable cost per unit?

Find the blade section absolute incidence : At 1.5-m radius, the thrust and torque gradings on each blade of a threebladed airscrew revolve at 1200 rpm at a flight speed of 90 m s-1 TAS.

What is the expected value and standard deviation : What is the expected value and standard deviation of the rate of return on his portfolio?

What would the annualized sharpe measure be : what would the annualized Sharpe measure be? Assume all returns are continuously compounded.

Find the speed of rotation of the airstream : At 1.25-m radius on a three-bladed airscrew, the airfoil section has the following characteristics.

The average rate of return on investment in large stocks : The average rate of return on investment in large stocks has outpaced that on investments in Treasury bills by about 7% since 1926.

Identify root causes of problems identified : Identify root causes of problems identified and offer potential solution(s). What solutions or suggestions would you offer to upper management.

User Account

All Pages