n an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8% with Beta of 0.5, find a zero-beta portfolio and state its return. [Note a negative amount indicates short-selling, which we assume is allowed here]
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In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8% with Beta of 0.5, find a zero-beta portfolio and state its return. [Note a negative amount indicates short-selling, which we assume is allowed here]
Question 8 options:
67% in A, 33% in B; -3%
-50% in A, 150% in B; 1%
-100% in A, 200% in B; 6%
0% in A, 100% in B; 8%
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- Find the Risk-Free Rate given the Expected Return on Stock Y is 20 %, the Expected Return on Market Portfolio is 24 % and Beta for Stock Y is 0.8. Select one: O a. 4% b. 5% c. 6% d. 7% e. NoneA call option with X = $50 on a stock currently priced at S = $55 is selling for $10. Using a volatility estimate of σ = .30, you find that N(d1 ) = .6 and N(d2 ) = .5. The risk-free interest rate is zero. Is the implied volatility based on the option price more or less than .30? Explain.Find the Risk-Free Rate given the Expected Return on Stock Y is 20 %, the Expected Return on Market Portfolio is 24 % and Beta for Stock Y is 0.8. Select one: O a. 5% O b. None O c. 6% O d. 4% O e. 7%
- You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 15.5% op 36% вр 1.35 1.15 14.5 7.4 0.60 11.7 1.00 7.0 Portfolio X Y Z Market Risk-free What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. Portfolio X Y Z Market 31 21 26 0 X Answer is complete but not entirely correct. Jensen's Alpha 2.16 2.10 -2.42 0 Sharpe Ratio 23.61111 24.19355 X 1.90476 x 18.07692 x Treynor Ratio 11.48148 x 6.52174 X 0.66667 4.70000 % % % %Stock A has a beta of 1.30, and its required return is 11.35%. Stock B's beta is 0.80. If the risk-free rate is 2.90%, what is the required rate of return on B's stock? (Hint: First find the market risk premium.) Do not round your intermediate calculations. a. 8.10% b. 6.50% c. 7.56% d. 8.45% e. 8.77%If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the risk-free rate is 5%. A) Portfolio A Market B) A Market Portfolio Expected Return A Market Expected Return D) 15% 15% Portfolio Expected Return Portfolio 20% 15% 20% 15% Expected Return A 30% Market 15% All options are possible. Option A Option D Option B Option C 1.2 1.0 Beta 1.2 1.0 Beta 12% 20 Beta 2.5 1.0 Beta
- Stock A has a beta of 1.2, and its required rate of return is 11.00%. Stock B's beta is 0.80. If the risk-free rate is 4.50%, what is the required rate of return on Stock B? (Ch. 8) Group of answer choices 9.45% 7.07% 8.39% 8.83% 7.95%Consider the following information: Expected Return Portfolio Risk-free Market A Expected return 10% 15.0 11.2 Alpha Required: a. Calculate the expected return of portfolio A with a beta of 0.6. (Round your answer to 2 decimal places.) Beta 0 1.0 0.6 % b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) % CheA portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6%. An investor has the following utility function: U = E(r) - (A/2)s2. Which value of A makes this investor indifferent between the risky portfolio and the risk-free asset? A. 5 B. 8 C. 6 D. 7
- Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 19 %. Portfolio B has a beta of 0.8 and an expected return of 15%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Multiple Choice A.A AB 8,8You are given the following information concerning three portfollos, the market portfollo, and the risk-free asset: ºp 31% 26 Portfolio X Y Z Market Risk-free Portfolio Rp 14.0% 13.0 7.0 10.2 6.0 Y Z Market What are the Sharpe ratlo, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. not round Intermediate calculations. Round your ratlo answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. 19 0 Sharpe Ratio 6p 1.35 1.10 0.75 1.00 3 Treynor Ratio Jensen's Alpha 96 86Stock A's beta is 1.5 and Stock B's beta is 0.5. Which of the following statements must be true, assuming the CAPM is correct. Group of answer choices Stock A would be a more desirable addition to a portfolio then Stock B. Stock B would be a more desirable addition to a portfolio than A. In equilibrium, the expected return on Stock A will be greater than that on B. In equilibrium, the expected return on Stock B will be greater than that on Stock A. When held in isolation, Stock A has more risk than Stock B.