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Question
Given an optimal risky portfolio with expected return of 12%, standard deviation of 26%, and a risk free rate of
3%, what is the slope of the best feasible CAL?
A. 0.64
B. 0.14
C. 0.08
D. 0.35
E. 0.36
Answer
This answer is hidden. It contains 22 characters.
Related questions
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C. option arbitrage.
D. equilibrium arbitrage.
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A. all investors are price takers.
B. all investors have the same holding period.
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Studies of liquidity spreads in security markets have shown that
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Given an optimal risky portfolio with expected return of 13%, standard deviation of 26%, and a risk free rate of
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Q:
The risk that can be diversified away in a portfolio is referred to as ___________.
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Q:
When two risky securities that are positively correlated but not perfectly correlated are held in a portfolio,
A. the portfolio standard deviation will be greater than the weighted average of the individual security standard
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Q:
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B. Interest rates
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D. The inflation rate
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Q:
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B. The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities
have been purchased.
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Q:
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Q:
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Q:
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A. 0.24; 0.76
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Q:
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Q:
The variance of a portfolio of risky securities
A. is a weighted sum of the securities' variances.
B. is the sum of the securities' variances.
C. is the weighted sum of the securities' variances and covariances.
D. is the sum of the securities' covariances.
E. None of the options are correct.
Q:
You invest $100 in a risky asset with an expected rate of return of 0.11 and a standard deviation of 0.20 and a
T-bill with a rate of return of 0.03.
What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to
form a portfolio with an expected return of 0.08?
A. 85% and 15%
B. 75% and 25%
C. 62.5% and 37.5%
D. 57% and 43%
E. Cannot be determined.
Q:
An investor invests 35% of his wealth in a risky asset with an expected rate of return of 0.18 and a variance of
0.10 and 65% in a T-bill that pays 4%. His portfolio's expected return and standard deviation are __________
and __________, respectively.
A. 0.089; 0.111
B. 0.087; 0.063
C. 0.096; 0.126
D. 0.087; 0.144