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5. The following questions relate to the lecture on chapter 5 material: Divya and Modi are portfolio managers. Divya has an omega ratio greater than
5. The following questions relate to the lecture on chapter 5 material:
- Divya and Modi are portfolio managers. Divya has an omega ratio greater than one and Modi has an Omega ratio lower than 1. Can we say anything about relative downward risk or/and upside risk of the two portfolios?
- The distribution of both the returns of the Zack fund and the Palushi fund are both normally distributed. Is it possible for Zack to have a higher sharpe ratio yet a lower sortino ratio than Palushi?
- Shweta Fund has an ES at the 1% level of 15%. Manu Fund has an ES at the 1% level of 18%. Is it possible for Shweta fund to have a larger VaR at the 1% level than Manu has at the 1% level? Why or why not?
5. The following questions relate to the lecture on chapter 5 material:
- Divya and Modi are portfolio managers. Divya has an omega ratio greater than one and Modi has an Omega ratio lower than 1. Can we say anything about relative downward risk or/and upside risk of the two portfolios?
- The distribution of both the returns of the Zack fund and the Palushi fund are both normally distributed. Is it possible for Zack to have a higher sharpe ratio yet a lower sortino ratio than Palushi?
- Shweta Fund has an ES at the 1% level of 15%. Manu Fund has an ES at the 1% level of 18%. Is it possible for Shweta fund to have a larger VaR at the 1% level than Manu has at the 1% level? Why or why not?
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