Exhibit 6-2 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{c} \begin{array}{cc} \text { Asset (A) } & \text { Asset (B) } \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=25 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=15 \% \\ \left(\sigma_{\mathrm{A}}\right)=18 \% & \left(\sigma_{\mathrm{B}}\right)=11 \% \\ \mathrm{~W}_{\mathrm{A}}=0.75 & \mathrm{~W}_{\mathrm{B}}=0.25\\ \end{array}\\ \mathrm{COV}_{\mathrm{ABB}}=-0.0009 \end{array}\) -Refer to Exhibit 6-2. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (?i), covariance (COVi,j), and asset weight (Wi) are as shown above?

A) 18.64% B) 20.0% C) 22.5% D) 13.65% E) 11% A) 18.64% B) 20.0% C) 22.5% D) 13.65% E) 11%

Exhibit 6-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{c} \begin{array}{cc} \text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=7 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=9 \% \\ \left(\sigma_{\mathrm{A}}\right)=6 \% & \left(\sigma_{\mathrm{B}}\right)=5 \% \\ \mathrm{~W}_{\mathrm{A}}=0.6 & \mathrm{~W}_{\mathrm{B}}=0.4 \end{array}\\ \mathrm{COV}_{\mathrm{AB}}=0.0014 \end{array}\) -Refer to Exhibit 6-7. What is the standard deviation of this portfolio?

A) 4.87% B) 3.62% C) 4.13% D) 5.76% E) 6.02% A) 4.87% B) 3.62% C) 4.13% D) 5.76% E) 6.02%

Exhibit 6-12 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{cc} \text { Asset 1 } & \text { Asset 2 } \\ \hline E\left(R_{1}\right)=.12 & E\left(R_{2}\right)=.16 \\ E\left(\sigma_{1}\right)=.04 & E\left(\sigma_{2}\right)=.06 \end{array}\) -Calculate the expected return for a three-asset portfolio with the following \(\begin{array}{cccc} \text { Asset } & \text { Exp. Ret. } & \text { Std. Dev } & \text { Weight } \\ \hline \text { A } & 0.0675 & 0.12 & 0.25 \\ \text { B } & 0.1235 & 0.1675 & 0.35 \\ \text { C } & 0.1425 & 0.1835 & 0.40 \end{array}\)

A) 11.71% B) 11.12% C) 15.70% D) 14.25% E) 6.75%. A) 11.71% B) 11.12% C) 15.70% D) 14.25% E) 6.75%.

Exhibit 6-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{c} \begin{array}{cc} \text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=7 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=9 \% \\ \left(\sigma_{\mathrm{A}}\right)=6 \% & \left(\sigma_{\mathrm{B}}\right)=5 \% \\ \mathrm{~W}_{\mathrm{A}}=0.6 & \mathrm{~W}_{\mathrm{B}}=0.4 \end{array}\\ \mathrm{COV}_{\mathrm{AB}}=0.0014 \end{array}\) -Refer to Exhibit 6-7. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (?i), covariance (COVi,j), and asset weight (Wi) are as shown above?

A) 5.8% B) 6.1% C) 6.9% D) 7.8% E) 8.9% A) 5.8% B) 6.1% C) 6.9% D) 7.8% E) 8.9%

What is the expected return of the three-stock portfolio described below? \(\begin{array}{lcc} \text { Common Stock } & \text { Market Value } & \text { Expected Return } \\ \hline \text { Ando Inc. } & 95,000 & 12.0 \% \\ \text { Bee Co. } & 32,000 & 8.75 \% \\ \text { Cool Inc. } & 65,000 & 17.7 \% \end{array}\)

A) 18.45% B) 12.82% C) 13.38% D) 15.27% E) 16.67% A) 18.45% B) 12.82% C) 13.38% D) 15.27% E) 16.67%

Exhibit 6-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{c} \begin{array}{cc} \text { Asset 1 } & \text { Asset 2 } \\ \hline E\left(R_{1}\right)=0.28 & E\left(R_{2}\right)=0.12 \\ E\left(\sigma_{1}\right)=0.15 & E\left(\sigma_{2}\right)=0.11 \\ W_{1}=0.42 & W_{2}=0.58 \end{array}\\ r_{1,2}=0.7 \end{array}\) -Refer to Exhibit 6-11. Calculate the expected return of the two-stock portfolio.

A) 0.107 B) 0.1367 C) 0.1169 D) 0.1872 E) 0.20 A) 0.107 B) 0.1367 C) 0.1169 D) 0.1872 E) 0.20

Exhibit 6-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \[\begin{array} { c c } \text { Asset } ( A ) & \text { Asset } ( B ) \\ \hline E \left( R _ { A } \right) = 10 \% & E \left( R _ { B } \right) = 15 \% \\ \left( \sigma _ { A } \right) = 8 \% & \left( \sigma _ { B } \right) = 9.5 \% \\ W _ { A } = 0.25 & W _ { B } = 0.75 \\ \operatorname { Cov } _ { A , B } = 0.006 \end{array}\] -Refer to Exhibit 6-1. What is the standard deviation of this portfolio?

A) 8.79% B) 13.75% C) 12.5% D) 7.72% E) 5.64% A) 8.79% B) 13.75% C) 12.5% D) 7.72% E) 5.64%

Exhibit 6-8 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{c} \begin{array}{cc} \text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=10 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=14 \% \\ \left(\sigma_{\mathrm{A}}\right)=7 \% & \left(\sigma_{\mathrm{B}}\right)=8 \% \\ \mathrm{~W}_{\mathrm{A}}=0.7 & \mathrm{~W}_{\mathrm{B}}=0.3 \end{array}\\ \mathrm{COV}_{\mathrm{AB}}=0.0013 \end{array}\) -Refer to Exhibit 6-8. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (?i), covariance (COVi,j), and asset weight (Wi) are as shown above?

A) 6.4% B) 9.1% C) 10.2% D) 10.8% E) 11.2% A) 6.4% B) 9.1% C) 10.2% D) 10.8% E) 11.2%

Exhibit 6-12 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{cc} \text { Asset 1 } & \text { Asset 2 } \\ \hline E\left(R_{1}\right)=.12 & E\left(R_{2}\right)=.16 \\ E\left(\sigma_{1}\right)=.04 & E\left(\sigma_{2}\right)=.06 \end{array}\) -Consider two securities, A and B. Security A and B have a correlation coefficient of 0.65. Security A has standard deviation of 12, and security B has standard deviation of 25. Calculate the covariance between these two securities.

A) 300 B) 461.54 C) 261.54 D) 195 E) 200 A) 300 B) 461.54 C) 261.54 D) 195 E) 200

Exhibit 6-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \[\begin{array} { c c } \text { Asset } ( A ) & \text { Asset } ( B ) \\ \hline E \left( R _ { A } \right) = 10 \% & E \left( R _ { B } \right) = 15 \% \\ \left( \sigma _ { A } \right) = 8 \% & \left( \sigma _ { B } \right) = 9.5 \% \\ W _ { A } = 0.25 & W _ { B } = 0.75 \\ \operatorname { Cov } _ { A , B } = 0.006 \end{array}\] -Refer to Exhibit 6-1. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (?i), covariance (COVi,j), and asset weight (Wi) are as shown above?

A) 8.79% B) 12.5% C) 13.75% D) 7.72% E) 12% A) 8.79% B) 12.5% C) 13.75% D) 7.72% E) 12%

Exam 6: An Introduction to Portfolio Management

Exhibit 6-2 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset (A) Asset (B) =25\% =15\% =18\% =11\% =0.75 =0.25 =-0.0009 -Refer to Exhibit 6-2. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation (?_i), covariance (COV_i,j), and asset weight (W_i) are as shown above?

(Multiple Choice)

4.9/5

(35)

Question 21

Exhibit 6-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset () Asset () =7\% =9\% =6\% =5\% =0.6 =0.4 =0.0014 -Refer to Exhibit 6-7. What is the standard deviation of this portfolio?

(Multiple Choice)

4.7/5

(34)

Question 22

Exhibit 6-12 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =.12 E =.16 E =.04 E =.06 -Calculate the expected return for a three-asset portfolio with the following Asset Exp. Ret. Std. Dev Weight A 0.0675 0.12 0.25 B 0.1235 0.1675 0.35 C 0.1425 0.1835 0.40

(Multiple Choice)

4.8/5

(33)

Question 23

Which of the following statements about the correlation coefficient is false?

(Multiple Choice)

4.7/5

(34)

Question 24

You are given a two-asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be and the expected portfolio standard deviation would be .

(Multiple Choice)

4.9/5

(35)

Question 25

A positive relationship between expected return and expected risk is consistent with

(Multiple Choice)

4.9/5

(27)

Question 26

As the number of risky assets in a portfolio increases, the total risk of the portfolio decreases.

(True/False)

4.9/5

(50)

Question 27

A positive covariance between two variables indicates that

(Multiple Choice)

4.8/5

(38)

Question 28

As the correlation coefficient between two assets decreases, the shape of the efficient frontier

(Multiple Choice)

4.7/5

(31)

Question 29

The expected return and standard deviation of a portfolio of risky assets is equal to the weighted average of the individual asset's expected returns and standard deviation.

(True/False)

5.0/5

(41)

Question 30

Combining assets that are not perfectly correlated does affect both the expected return of the portfolio as well as the risk of the portfolio.

(True/False)

4.8/5

(42)

Question 31

An individual investor's utility curves specify the tradeoffs he or she is willing to make between

(Multiple Choice)

4.8/5

(36)

Question 32

The Markowitz model is based on several assumptions regarding investor behaviour. Which of the following is not such any assumption?

(Multiple Choice)

4.8/5

(40)

Question 33

Exhibit 6-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset () Asset () =7\% =9\% =6\% =5\% =0.6 =0.4 =0.0014 -Refer to Exhibit 6-7. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation (?_i), covariance (COV_i,j), and asset weight (W_i) are as shown above?

(Multiple Choice)

4.8/5

(32)

Question 34

What is the expected return of the three-stock portfolio described below? Common Stock Market Value Expected Return Ando Inc. 95,000 12.0\% Bee Co. 32,000 8.75\% Cool Inc. 65,000 17.7\%

(Multiple Choice)

4.8/5

(33)

Question 35

Exhibit 6-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =0.28 E =0.12 E =0.15 E =0.11 =0.42 =0.58 =0.7 -Refer to Exhibit 6-11. Calculate the expected return of the two-stock portfolio.

(Multiple Choice)

4.9/5

(43)

Question 36

Exhibit 6-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset (A) Asset (B) E =10\% E =15\% =8\% =9.5\% =0.25 =0.75 =0.006 -Refer to Exhibit 6-1. What is the standard deviation of this portfolio?

(Multiple Choice)

4.8/5

(37)

Question 37

Exhibit 6-8 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset () Asset () =10\% =14\% =7\% =8\% =0.7 =0.3 =0.0013 -Refer to Exhibit 6-8. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation (?_i), covariance (COV_i,j), and asset weight (W_i) are as shown above?

(Multiple Choice)

5.0/5

(40)

Question 38

Exhibit 6-12 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =.12 E =.16 E =.04 E =.06 -Consider two securities, A and B. Security A and B have a correlation coefficient of 0.65. Security A has standard deviation of 12, and security B has standard deviation of 25. Calculate the covariance between these two securities.

(Multiple Choice)

4.9/5

(31)

Question 39

Exhibit 6-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset (A) Asset (B) E =10\% E =15\% =8\% =9.5\% =0.25 =0.75 =0.006 -Refer to Exhibit 6-1. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation (?_i), covariance (COV_i,j), and asset weight (W_i) are as shown above?

(Multiple Choice)

4.8/5

(37)

Question 40

Exhibit 6-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset () Asset () =7\% =9\% =6\% =5\% =0.6 =0.4 =0.0014 -Refer to Exhibit 6-7. What is the standard deviation of this portfolio?

Exhibit 6-12 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =.12 E =.16 E =.04 E =.06 -Calculate the expected return for a three-asset portfolio with the following Asset Exp. Ret. Std. Dev Weight A 0.0675 0.12 0.25 B 0.1235 0.1675 0.35 C 0.1425 0.1835 0.40

Which of the following statements about the correlation coefficient is false?

You are given a two-asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be and the expected portfolio standard deviation would be .

A positive relationship between expected return and expected risk is consistent with

As the number of risky assets in a portfolio increases, the total risk of the portfolio decreases.

A positive covariance between two variables indicates that

As the correlation coefficient between two assets decreases, the shape of the efficient frontier

The expected return and standard deviation of a portfolio of risky assets is equal to the weighted average of the individual asset's expected returns and standard deviation.

Combining assets that are not perfectly correlated does affect both the expected return of the portfolio as well as the risk of the portfolio.

An individual investor's utility curves specify the tradeoffs he or she is willing to make between

The Markowitz model is based on several assumptions regarding investor behaviour. Which of the following is not such any assumption?

What is the expected return of the three-stock portfolio described below? Common Stock Market Value Expected Return Ando Inc. 95,000 12.0\% Bee Co. 32,000 8.75\% Cool Inc. 65,000 17.7\%

Exhibit 6-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =0.28 E =0.12 E =0.15 E =0.11 =0.42 =0.58 =0.7 -Refer to Exhibit 6-11. Calculate the expected return of the two-stock portfolio.

Exhibit 6-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset (A) Asset (B) E =10\% E =15\% =8\% =9.5\% =0.25 =0.75 =0.006 -Refer to Exhibit 6-1. What is the standard deviation of this portfolio?

The Investment Setting

The Asset Allocation Decision

Selecting Investments in a Global Market

Securities Markets and the Economy

Efficient Capital Markets

Asset Pricing Models: Capm and Apt

Economic and Industry Analysis

Company Analysis and Stock Valuation

Technical Analysis

Bond Fundamentals

The Analysis and Valuation of Bonds

An Introduction to Derivative Markets and Securities

Derivatives: Analysis and Valuation

Equity Portfolio Management Strategies

Bond Portfolio Management Strategies

Professional Money Management, Alternative Assets, and Industry Ethics

Evaluation of Portfolio Performance

Analysis of Financial Statements

An Introduction to Security Valuation

Web Appendix: A Review of Statistics and the Security Market Line

Web Appendix: A Review of Statistics and the Security Market Line

Appendix: Objectives and Constraints of Institutional Investors

Filters

Exam 6: An Introduction to Portfolio Management

Exhibit 6-7 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset () Asset () =7\% =9\% =6\% =5\% =0.6 =0.4 =0.0014 -Refer to Exhibit 6-7. What is the standard deviation of this portfolio?

Exhibit 6-12 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =.12 E =.16 E =.04 E =.06 -Calculate the expected return for a three-asset portfolio with the following Asset Exp. Ret. Std. Dev Weight A 0.0675 0.12 0.25 B 0.1235 0.1675 0.35 C 0.1425 0.1835 0.40

Which of the following statements about the correlation coefficient is false?

You are given a two-asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be ____ and the expected portfolio standard deviation would be ____.

A positive relationship between expected return and expected risk is consistent with

As the number of risky assets in a portfolio increases, the total risk of the portfolio decreases.

A positive covariance between two variables indicates that

As the correlation coefficient between two assets decreases, the shape of the efficient frontier

The expected return and standard deviation of a portfolio of risky assets is equal to the weighted average of the individual asset's expected returns and standard deviation.

Combining assets that are not perfectly correlated does affect both the expected return of the portfolio as well as the risk of the portfolio.

An individual investor's utility curves specify the tradeoffs he or she is willing to make between

The Markowitz model is based on several assumptions regarding investor behaviour. Which of the following is not such any assumption?

What is the expected return of the three-stock portfolio described below? Common Stock Market Value Expected Return Ando Inc. 95,000 12.0\% Bee Co. 32,000 8.75\% Cool Inc. 65,000 17.7\%

Exhibit 6-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset 1 Asset 2 E =0.28 E =0.12 E =0.15 E =0.11 =0.42 =0.58 =0.7 -Refer to Exhibit 6-11. Calculate the expected return of the two-stock portfolio.

Exhibit 6-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset (A) Asset (B) E =10\% E =15\% =8\% =9.5\% =0.25 =0.75 =0.006 -Refer to Exhibit 6-1. What is the standard deviation of this portfolio?

The Investment Setting

The Asset Allocation Decision

Selecting Investments in a Global Market

Securities Markets and the Economy

Efficient Capital Markets

Asset Pricing Models: Capm and Apt

Economic and Industry Analysis

Company Analysis and Stock Valuation

Technical Analysis

Bond Fundamentals

The Analysis and Valuation of Bonds

An Introduction to Derivative Markets and Securities

Derivatives: Analysis and Valuation

Equity Portfolio Management Strategies

Bond Portfolio Management Strategies

Professional Money Management, Alternative Assets, and Industry Ethics

Evaluation of Portfolio Performance

Analysis of Financial Statements

An Introduction to Security Valuation

Web Appendix: A Review of Statistics and the Security Market Line

Web Appendix: A Review of Statistics and the Security Market Line

Appendix: Objectives and Constraints of Institutional Investors

Filters

You are given a two-asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be and the expected portfolio standard deviation would be .