PLEASE ANSWER ALL QUESTIONS!!!!!!!! NOTE: For SHARP RATIO, assume the risk free
ID: 2653849 • Letter: P
Question
PLEASE ANSWER ALL QUESTIONS!!!!!!!!
NOTE: For SHARP RATIO, assume the risk free rate to be 0
PLEASE ROUND TO 2 DECIMALS! THANK YOU
AVERAGES
-0.0069
0.0018
0.0015
covariance matrix:
7.) For a portfolio formed by 40% in the SP500 and 60% in A. Calculate the return on the portfolio.
8.) Using the covariance matrix from question 7, calculate the variance of the portfolio formed by 40% in the SP500 and 60% in A.
9.) Using the variance from question 8, calculate the standard deviation of the portfolio formed by 40% in the SP500 and 60% in A.
10.) Using the average and standard deviation from previous questions, calculate the Sharpe ratio for the portfolio formed by 40% in the SP500 and 60% in A.
11.) Using the averages from question 7, calculate the average of a portfolio formed by 30% in A and 70% in B.
12.) Using the covariance matrix from question 7, calculate the variance of a portfolio formed by 30% in A and 70% in B.
13.) Using the variance from question 12, calculate the standard deviation for the portfolio formed by 30% in A and 70% in B.
14.) Using the average and standard deviation from previous questions, calculate the Sharpe ratio for the portfolio formed by 30% in A and 70% in B.
15.) Which of the portfolios offer greater return per unit of risk taken?
A. The portfolio formed by 30% in A and 70% in B
B. portfolio formed by 40% in the SP500 and 60% in A
c. Both give the same return per unit of risk
sp500 A B Average-0.0069
0.0018
0.0015
Explanation / Answer
Solution:
7.) Return of the Portfolio
= 60 % * 0.0018 + 40 % * 0.0015 = .00168 = 1.68 %
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