70.2K

Verified Solution

Link Copied!

4

_a) Tyler Trucks stock hasan annual return mean and standard deviation of 10 percent and 22percent, respectively. Michael Moped Manufacturing stock has anannual return mean and standard deviation of 16 percent and 32percent, respectively. Your portfolio allocates equal funds toTyler Trucks stock and Michael Moped Manufacturing stock. Thereturn correlation between Tyler Trucks and Michael MopedManufacturing is 0.5. What is the smallestpercentageexpected loss for your portfolio in thecoming month with a probability of 5 percent? (A negativevalue should be indicated by a minus sign. Do not roundintermediate calculations. Round the z-score value to 3 decimalplaces when calculating your answer. Enter your answer as a percentrounded to 2 decimal places.)

b) You are constructing a portfolio oftwo assets, Asset A and Asset B. The expected returns of the assetsare 13 percent and 28 percent, respectively. The standarddeviations of the assets are 13 percent and 33 percent,respectively. The correlation between the two assets is 0.19 andthe risk-free rate is 5 percent. What is the optimal Sharpe ratioin a portfolio of the twoassets?  (A negative valueshould be indicated by a minus sign. Do not roundintermediate calculations. Round your Sharpe ratioanswer to 4 decimal places when calculating your answer.)

Please help!!! i will rate and give feed back:)