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Category > Accounting Posted 26 May 2017 My Price 4.00

Based on current dividend yields and expected capital gains

 

Based on current dividend yields and expected capital gains, the expected rates of return on portfolios Aand B are 11.7% and 13.2%, respectively. The beta of A is .9, while that of B is 1.4. The T-bill rate is currently 6%, while the expected rate of return of the S&P 500 index is 12%. The standard deviation of portfolio A is 24% annually, while that of B is 45%, and that of the index is 34%.
a.

If you currently hold a market index portfolio, what would be the alpha for Portfolios A and B?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 1 decimal place.)
   
  Portfolio A %
  Portfolio B %
b-1.

If instead you could invest only in bills and one of these portfolios, calculate the sharpe measure for Portfolios A and B. (Round your answers to 2 decimal places.)
     Sharpe Measure
  Portfolio A       
  Portfolio B       
 
b-2. Which portfolio would you choose?
   
 
  Portfolio A
  Portfolio B
 
 

Answers

Alpha Geek
(8)
Status NEW Posted 26 May 2017 02:05 PM My Price 4.00

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file 1495808649-Answer.docx preview (167 words )
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