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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 risk-free rate to the opportunity set e) What is the reward-to-variability 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 T-bill 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 3-1 4-1-2 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