our eccentric Aunt Claudia has left you $50,000 in BP shares plus $50,000 cash. Unfortunately, her will requires that the BP stock not be sold for one year and the $50,000 cash must be entirely invested in one of the stocks shown below. [table] | BHP Billiton | Siemens | Nestlé | LVMH | Toronto Dominion Bank | Samsung | BP BHP Billiton | 1.00 | | 0.23 | | –0.07 | | 0.26 | | 0.44 | | 0.36 | | 0.33 | Siemens | | | 1.00 | | 0.29 | | 0.21 | | 0.15 | | 0.30 | | 0.24 | Nestlé | | | | | 1.00 | | 0.20 | | 0.21 | | 0.13 | | 0.21 | LVMH | | | | | | | 1.00 | | 0.11 | | 0.25 | | 0.09 | Toronto Dominion Bank | | | | | | | | | 1.00 | | 0.20 | | 0.19 | Samsung | | | | | | | | | | | 1.00 | | 0.20 | BP | | | | | | | | | | | | | 1.00 | Standard deviation (%) | 30.10 | | 22.90 | | 11.03 | | 19.40 | | 19.70 | | 27.30 | | 23.20 | [/table] a. Calculate the portfolio variance for seven different portfolios. (Use decimals, not percents, in your calculations. Do not round intermediate calculations. Enter your answers as a decimal rounded to 5 places.)b. What is the safest attainable portfolio under these restrictions?单项选择题

题目图片
A

a. [table] a | Portfolio VarianceBHP0.03763Siemens0.05294Nestlé0.21918LVMH0.42489Toronto Dominion Bank0.02750Samsung0.03842BP0.05382 [/table]b. BP and Toronto Domion Bank

B

b. [table] a | Portfolio VarianceBHP0.04763Siemens0.03294Nestlé0.01918LVMH0.02489Toronto Dominion Bank0.02750Samsung0.03842BP0.05382 [/table]b. BP and Nestlé

C

c. [table] a | Portfolio VarianceBHP0.03763Siemens0.05294Nestlé0.21918LVMH0.02489Toronto Dominion Bank0.02750Samsung0.03842BP0.05382 [/table]b. BP and LVMH

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Which of the following statement(s) is(are) true regarding the variance of a portfolio of two risky securities? I) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance. II) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance. III) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.

Question text 2Marks You are given the following variance – covariance matrix on two shares and the market portfolio. Risk free rate is 6% per annum. Expected market return is 14% per annum. You have $500,000 available to invest. Assume that you are forming a portfolio by investing $200,000 in Share A, $200,000 in Share B and the balance of the $500,000 in risk free asset. What is the standard deviation of this portfolio in percentage terms? [Type only the final answer into the response box below (NOT into the Notes box) and in pure numeric format (e.g. 10 or -10). Do NOT use %/$ signs, commas or spaces (e.g. only enter 10 if it is 10 days/$10/10%)] Answer 1[input]Notes Report question issue Question 6 Notes

An investor holds a portfolio of two shares. The risk-free rate is 1.3%. The correlation between the two shares is 0.9 and their expected return, volatility and beta as follows: Share Investment E(R) STD Beta A 221,841 22 26 2 B 638,485 12 13 1.1 Calculate the portfolio variance. If the answer is 10.4567%, write 0.1046.

An investor holds a portfolio of two shares. The risk-free rate is 1%. The correlation between the two shares is 0.6 and their expected return, volatility and beta as follows: Share Investment E(R) STD Beta A 196,615 22 22 2.2 B 750,941 15 14 1.1 Calculate the portfolio volatility. If the answer is 10.4567%, write 0.1046.

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