53.
In words, the covariance considers the probability of each scenario happening and the
interaction between
54.
The standard deviation of a two-asset portfolio is a linear function of the assets’ weights
when
55.
A two-asset portfolio with a standard deviation of zero can be formed when
56.
When borrowing and lending at a risk-free rate are allowed, which capital allocation line
(CAL) should the investor choose to combine with the efficient frontier?
I) The one with the highest reward-to-variability ratio.
II) The one that will maximize his utility.
III) The one with the steepest slope.
IV) The one with the lowest slope.
57.
Given an optimal risky portfolio with expected return of 13% and standard deviation of 26%
and a risk free rate of 5%, what is the slope of the best feasible CAL?
58.
The separation property refers to the conclusion that
59.
Consider the following probability distribution for stocks A and B:
The expected rates of return of stocks A and B are _____ and _____, respectively.
60.
Consider the following probability distribution for stocks A and B:
The standard deviations of stocks A and B are _____ and _____, respectively.
61.
Consider the following probability distribution for stocks A and B:
The coefficient of correlation between
A
and
B
is
62.
Consider the following probability distribution for stocks A and B:
If you invest 35% of your money in A and 65% in B, what would be your portfolio’s
expected rate of return and standard deviation?
63.
Consider two perfectly negatively correlated risky securities A and B. A has an expected
rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of
9% and a standard deviation of 14%.
The weights of A and B in the global minimum variance portfolio are _____ and _____,
respectively.
64.
Consider two perfectly negatively correlated risky securities A and B. A has an expected
rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of
9% and a standard deviation of 14%.
The risk-free portfolio that can be formed with the two securities will earn _____ rate of
return.
65.
Security X has expected return of 14% and standard deviation of 22%. Security Y has
expected return of 16% and standard deviation of 28%. If the two securities have a
correlation coefficient of 0.8, what is their covariance?
66.
Given an optimal risky portfolio with expected return of 16% and standard deviation of 20%
and a risk-free rate of 4%, what is the slope of the best feasible CAL?
67.
Given an optimal risky portfolio with expected return of 12% and standard deviation of 26%
and a risk free rate of 3%, what is the slope of the best feasible CAL?