Consider the monthly returns on a portfolio as shown in Exhibit 11: 1. Calculate the target downside
Question:
Consider the monthly returns on a portfolio as shown in Exhibit 11:
1. Calculate the target downside deviation when the target return is 3 percent.
2. If the target return were 4 percent, would your answer be different from that for question 1? Without using calculations, explain how would it be different?
Transcribed Image Text:
Exhibit 11: Monthly Portfolio Returns Month January February March April May June July August September October November December Return (%) 5 3 -1 4 2 0 4 3 965 0
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