Questions from General Investment

Q: Suppose two assets have perfect positive correlation. Show that the standard

Suppose two assets have perfect positive correlation. Show that the standard deviation on a portfolio of the two assets is simply:

Q: Suppose two assets have perfect negative correlation. Show that the standard

Suppose two assets have perfect negative correlation. Show that the standard deviation on a portfolio of the two assets is simply:

Q: Using the result in Problem 23, show that whenever two assets

Using the result in Problem 23, show that whenever two assets have perfect negative correlation, it is possible to find a portfolio with a zero standard deviation. What are the portfolio weights? (Hin...

Q: The return calculation method most appropriate for evaluating the performance of a

The return calculation method most appropriate for evaluating the performance of a portfolio manager is a. Holding period b. Geometric c. Money-weighted (or dollar-weighted)

Q: Derive our expression in the chapter for the portfolio weight in the

Derive our expression in the chapter for the portfolio weight in the minimum variance portfolio. (Danger! Calculus required!)

Q: Stock Y has a beta of 1.05 and an expected

Stock Y has a beta of 1.05 and an expected return of 13 percent. Stock Z has a beta of 0.70 and an expected return of 9 percent. If the risk-free rate is 5 percent and the market risk premium is 7 per...

Q: Show that another way to calculate beta is to take the covariance

Show that another way to calculate beta is to take the covariance between the security and the market and divide by the variance of the market’s return.

Q: The beta for a certain stock is 1.15, the

The beta for a certain stock is 1.15, the risk-free rate is 5 percent, and the expected return on the market is 13 percent. Complete the following table to decompose the stock’s retu...

Q: Look back at Problem 1. Assume that Able undergoes a 1

Look back at Problem 1. Assume that Able undergoes a 1-for-2 reverse stock split. What is the new divisor? Data from Problem 1: Able, Baker, and Charlie are the only three stocks in an index. The st...

Q: What is the formula for the Sharpe ratio for an equally weighted

What is the formula for the Sharpe ratio for an equally weighted portfolio of stocks and bonds?