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Unformatted text preview: Expected return Standard deviation Stock fund (S) 15% 32% Bond fund (B) 9 23 a) Tabulate and draw the investment opportunity set of the two risky funds. b) Use investment proportions for the stock fund of 0 to 100% in increments of 20%. c) What expected return and the standard deviation does your graph show for the minimum variance portfolio? d) Draw a tangent from the riskfree rate to the opportunity set e) What is the rewardtovariability ratio of the best feasible CAL? f) What is the standard deviation of your portfolio if it yields an expected return of 12%? g) What is the proportion invested in the Tbill fund and each of the two risky funds? Q4) The rate of return for six month for Generic Risk Inc as follows. Month Market Return Generic Return 1 0% +2% 2 31 412 5 +1 +4 6 +1 +2 What is Generics beta? (Hint: find the answer by plotting the scatter diagram). 2...
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This note was uploaded on 10/28/2009 for the course MBA MBA608 taught by Professor Martin during the Spring '09 term at Beirut Arab University.
 Spring '09
 MARTIN
 Management

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