Exhibit 6-4 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) \(\begin{array}{c} \begin{array}{cc} \text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=10 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=8 \% \\ \left(\sigma_{\mathrm{A}}\right)=6 \% & \left(\sigma_{\mathrm{B}}\right)=5 \% \\ \mathrm{~W}_{\mathrm{A}}=0.3 & \mathrm{~W}_{\mathrm{B}}=0.7 \end{array}\\ \mathrm{COV}_{\mathrm{AB}}=0.0008 \end{array}\) -Refer to Exhibit 6-4. 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) 8.6% B) 8.1% C) 9.3% D) 10.2% E) 11.6% A) 8.6% B) 8.1% C) 9.3% D) 10.2% E) 11.6%

Exam 6: An Introduction to Portfolio Management

Exhibit 6-4 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Asset () Asset () =10\% =8\% =6\% =5\% =0.3 =0.7 =0.0008 -Refer to Exhibit 6-4. 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)

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Question 81

Risk is defined as the uncertainty of future outcomes.

(True/False)

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Question 82

For a two-stock portfolio containing Stocks i and j, the correlation coefficient of returns (r??) is equal to the square root of the covariance (cov??).

(True/False)

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Question 83

What is the standard deviation of an equally weighted portfolio of two stocks with a covariance of 0.009, if the standard deviation of the first stock is 15% and the standard deviation of the second stock is 20%?

(Multiple Choice)

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Question 84

All of the following are assumptions of the Markowitz model except

(Multiple Choice)

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Question 85

Showing 81 - 85 of 85

Risk is defined as the uncertainty of future outcomes.

For a two-stock portfolio containing Stocks i and j, the correlation coefficient of returns (r??) is equal to the square root of the covariance (cov??).

What is the standard deviation of an equally weighted portfolio of two stocks with a covariance of 0.009, if the standard deviation of the first stock is 15% and the standard deviation of the second stock is 20%?

All of the following are assumptions of the Markowitz model except

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

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