1. What is the expected return on this portfolio (using weights invested)? 2.What is the...
90.2K
Verified Solution
Link Copied!
Question
Finance
1. What is the expected return on this portfolio (using weights invested)?
2.What is the portfolio standard deviation (assume given standard deviations are historical and can be expected to be the same in the near future)?
3.What is the (weighted) portfolio beta?
4.What is the expected Sharpe Ratio for this portfolio?
5.What is the expected Treynor Ratio for this portfolio?
6.What is the expected portfolio return using the Capital Asset Pricing Model (CAPM)?
7.Using the expected return calculated from the CAPM in Question 36, what is Jensens Alpha if the portfolio earns a return of 15.24% over the next one-year period?
Show working please!!!
Fund A Fund B $ Invested $ 8,000 12,000 Weight 60% 40% Exp Return 15% 12% Std Dev 24% 14% Beta 1.92 1.27 Corr(A,B) 0.43 Risk-free rate 3.60% Exp Market Return 9.50%
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.