Risk and Return

# Replicate in decimal format the following table note

• 29

16. Replicate (in decimal format) the following table. Note that w is the percentage of money invested in stock A. w AR Variance σ 0.05 0.9218% 0.003158 0.056198 0.1 0.9350% 0.003049 0.055219 0.15 0.9481% 0.002943 0.054247 0.2 0.9612% 0.002839 0.053282 0.25 0.9744% 0.002738 0.052325 0.3 0.9875% 0.002639 0.051375 0.35 1.0007% 0.002544 0.050435 0.4 1.0138% 0.002451 0.049503 0.45 1.0270% 0.00236 0.048581 0.5 1.0401% 0.002272 0.04767 0.55 1.0533% 0.002187 0.046769 0.6 1.0664% 0.002105 0.045879 0.65 1.0796% 0.002025 0.045001 0.7 1.0927% 0.001948 0.044136 0.75 1.1059% 0.001874 0.043285 0.8 1.1190% 0.001802 0.042448 0.85 1.1322% 0.001733 0.041626 0.9 1.1453% 0.001666 0.04082 0.95 1.1585% 0.001603 0.040032 1 1.1716% 0.001541 0.039261 27
17. Assume that the monthly risk free rate earned by holding a 30-day Treasury Bill is .255% and the expected monthly return of the market portfolio is 1%. Let the standard deviation of the market return equal 1%. Assume that you invest \$200,000 in the market by borrowing \$50,000 by shorting the T-Bill and using your wealth of \$150,000. Determine the expected monthly return of this portfolio.
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern