An investor wishes to construct a portfolio by borrowing 30…

An investor wishes to construct a portfolio by borrowing 30 percent of his initial wealth at the risk-free rate of 3 percent and investing all the money in a stock index. The expected return on the stock index is 12 percent. Calculate the expected return on the portfolio.

Exhibit 6.11 USE THE INFORMATION BELOW FOR THE FOLLOWING PRO…

Exhibit 6.11 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)   Asset 1 Asset 2 E(R1) = 0.28 E(R2) = 0.12 E(s1) = 0.15 E(s2) = 0.11 W1 = 0.42 W2 = 0.58 r1,2 = 0.7   Refer to Exhibit 6.11. Calculate the expected standard deviation of the two-stock portfolio.

Assume that as a portfolio manager the beta of your portfoli…

Assume that as a portfolio manager the beta of your portfolio is 1.4 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML?   (1) RFR = .06 Rm(proxy) = .12 (2) RK = .05 Rm(true) = .11