Question
1.Which of the following portfolios can not be on the Markowitz efficient frontier? Portfolio Expected Return Standard Deviation Q 15% 22.5% R 15.75% 24.75% S
1.Which of the following portfolios can not be on the Markowitz efficient frontier?
Portfolio Expected Return Standard Deviation Q 15% 22.5% R 15.75% 24.75% S 17.25% 27.75% T 18.75% 30%
2.You need to invest $20M in two assets: a risk-free asset with an expected return of 5% and a risky asset with an expected return of 15% and a standard deviation of 45%. You face a cap of 35% on the portfolios standard deviation. What is the maximum expected return you can achieve on your portfolio? Explain your reasoning. Whatis the corresponding Sharpe ratio of the portfolio with the maximum expected return? Explain your reasoning.
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