Given an optimal risky portfolio with expected return of 6%, standard deviation of 23%, and a risk free rate of 3%, what is the slope of the best feasible CAL? O 0.39 O 0.36 0.08 O 0.13
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- Given an optimal risky portfolio with expected return of 16%, standard deviation of 20%, and a risk-free rate of 4%, what is the slope of the best feasible CAL? A. 0.14 B. 0.31 C. 0.60 D. 0.36 E. 0.08An optimal risk portfolio’s expected return is 14%, standard deviation is 22%. If risk-free rate is 6%, then what would be slope of the best CAL? A) 0.64B) 0.14C) 0.08D) 0.33E) 0.3610) Given an optimal risky portfolio with expected return of 15%, standard deviation of 26%, and a risk free rate of 5%, what is the slope of the best feasible CAL? A) 0.64 B) 0.27 C) 0.08 D) 0.38 E) 0.36 Provide explanation for the correct answer.
- Suppose that the return on the risk-free asset is rRFrRF = 15%, the return on the market portfolio is r̂Mr̂M = 20%, the market risk is σMσM = 10%, and the portfolio risk is σpσp = 15%. Then the expected rate of return on an efficient portfolio equals . Generally, a less risky portfolio would havea lower rate of return.Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% anda risk free rate of 3%, what is the slope of the best feasible CAL? Muitiple Choice 0.64 0.39 0.08 0.35 0.36Suppose that optimal risky portfolio has an expected return of 16% and a varianceof 0.04. The risk-free rate is 4%.a) Find the slope of Capital Market Line (Optimal Capital Allocation Line)?b) What is the expected return of a portfolio C, which is on Capital Market Line and has astandard deviation of 0.08?
- The risk free rate is 3%. The optimal risky portfolio has an expected return of 9% and standarddeviation of 20%. Answer the following questions.a) Assume the utility function of an investor is U = E(r) − 0.5Aσ2. What is condition ofA to make the investors prefer the optimal risky portfolio than the risk free asset? b) Assume the utility function of an investor is U = E(r) − 2.5σ2. What is the expectedreturn and standard deviation of the investor’s optimal complete portfolio?If the market portfolio has a required return of 0.12 and a standard deviation of 0.40, and the riskfreerate is 0.04, what is the slope of the security market line?Consider a risky portfolio, A, with an expected rate of return of 0.15 and a standard deviation of 0.15, that lies on a given indifference curve. Which one of the following portfolios might lie on the same indifference curve? A. E(r) = 0.15; Standard deviation = 0.20 B. E(r) = 0.20; Standard deviation = 0.15 C. E(r) = 0.10; Standard deviation = 0.10 D. E(r) = 0.10; Standard deviation = 0.20 E. E(r) = 0.15; Standard deviation = 0.10
- 5. There are three risky assets with rates of return r₁, 12, and r3, respectively. The covariance matrix and the expected rates of return are [0.4 0.2 0 = Σ 0.2 0.4 0.2 0 0.2 0.4 [0.04] 0.08 0.06 (a) Find the global minimum-variance portfolio. (b) For the required return z = 0.075, find (the weight of) the optimal portfolio with risky assets. For (c) and (d) only, assume there is an additional risk-free asset with return Tf 0.03. = (c) Find the tangent portfolio.Suppose now that your portfolio must yleld an expected return of 12% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio?Using the following data: Scenario Probability return K1 return K2 0.2 -10% 5% W2 0.4 0% 30% W3 0.4 20% -5% compute the weights in the portfolio with minimum risk. What are the expected return and risk of this minimum risk portfolio?