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L15.2028 - Finance I (2025/2026)
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Compute the beta for a portfolio 20,3% invested in the risk-free asset and the remaining in the risky asset.
(Insert your answer in
units. For example, if your answer is 0.241, please insert 0.241)
For questions 1 to 8, consider the following information:
You invest $150,000. You can invest in a risky asset (not the market portfolio) with an expected rate of return of 8,9% and a standard deviation of 18,7%, and a T-bill with a rate of return of 4,9%. The market portfolio has an expected return of 15% and a standard deviation of 14%. Assume the CAPM assumptions hold and that all securities are in equilibrium.
Compute the expected return of an equally weighted portfolio on the risky asset and the market portfolio.
(Insert your answer as a
percentage. For example, if your answer is 0.05815, please insert 5.815)
Consider additionally that after a new shock, you observe the following information for the
|
Current Market Price (P
|
Investor’s Expected Price (P
|
Investor’s Expected DPS (DPS
|
Risky Asset
|
59,5
|
73,6
|
0
|
Compute the investor’s expected return for the risky asset.
(Insert your answer as a
percentage. For example, if your answer is 0.05815, please insert 5.815)
After the new shock, the risky asset is:
Note: if you select the wrong choice, you will lose 20% of the question points.
Compute the beta for a portfolio with the same standard deviation as the portfolio in question 3, but with the highest possible expected return.
(Insert your answer in
units. For example, if your answer is 0.241, please insert 0.241)
Compute the standard deviation of an equally weighted portfolio on the risky asset and the market portfolio.
(Insert your answer as a
percentage. For example, if your answer is 0.05815, please insert 5.815)
Compute the beta for a portfolio 24,2% invested in the risk-free asset and the remaining in the risky asset.
(Insert your answer in
units. For example, if your answer is 0.241, please insert 0.241)
Compute the standard deviation for a portfolio that has the same expected return as the portfolio in question 1 but presents the lowest possible standard deviation.
(Insert your answer as a percentage. For example, if your answer is 0.05815, please insert 5.815)
Compute the coefficient of correlation between the risky asset and the market portfolio.
(Insert your answer in
units. For example, if your answer is 0.241, please insert 0.241)
For questions 1 to 8, consider the following information:
You invest $150,000. You can invest in a risky asset (not the market portfolio) with an expected rate of return of 8% and a standard deviation of 15,4%, and a T-bill with a rate of return of 4,3%. The market portfolio has an expected return of 15% and a standard deviation of 14%. Assume the CAPM assumptions hold and that all securities are in equilibrium.
Compute the expected return of an equally weighted portfolio on the risky asset and the market portfolio.
(Insert your answer as a
percentage. For example, if your answer is 0.05815, please insert 5.815)