The standard deviation of an efficient portfolio

Reference no: EM1317509

Suppose the expected return and the standard deviation on the Market Portfolio M are E (RM) = 12% and σM = 20%, respectively.

(a) When the Sharpe Ratio for the market portfolio is 0.5, what risk-free rate Rf is the market anticipate? Draw on a diagram for the Capital Market Line derived from the above data. Make sure to clarify the intercept and the slope.

(b) What should be an expected return of a well-diversified portfolio P (i.e. portfolios on the ML) with a volatility of 15%?

(d) What should be the standard deviation of an efficient portfolio with a beta of 0.4? Describe.

Reference no: EM1317509

Questions Cloud

Multiply and simplify the given expression : Multiply and simplify the given expression - Multiply and simplify: (2x 3 + 3) (5x - 6 + x 2 )

A arbitrary sample of students is selecte : A arbitrary sample of 8 students is selected. Illucidate the probability that among the students in the sample at least 7 are female.

Find the vertex and axis of symmetry : Find the vertex and axis of symmetry.

Correctly parenthesized text using one line : Write each of the following expressions in correctly parenthesized text using one line (also called calculator notation or inline notation)

The standard deviation of an efficient portfolio : When the Sharpe Ratio for the market portfolio is 0.5, what risk-free rate Rf is the market anticipate? Draw on a diagram for the Capital Market Line derived from the above data. Make sure to clarify the intercept and the slope.

Three different quadratic functions : Three different quadratic functions.

What is the probability that the students in the sample : The student body of a large university comprises 60% female students. Elucidate what is the probability that the students in the sample exactly two are female?

What should be expected return of stock x : A portfolio p of consisting 60% of stock X and 40% of stock Y, has a correlation ρpM = 0.62 with the market. What is the portfolio volatility? Statement on the diversification effect.

What is the probability all four calls are infact emergency : Illustrate what is the probability all four calls are infact emergencies. Illustrate what is the probability that three or more calls are not emergencies.

User Account

All Pages