Question
Alice and Bob are portfolio managers from two fund houses. They are both using modern portfolio theory, specifically mean-variance optimisation, to construct their portfolios. The
Alice and Bob are portfolio managers from two fund houses. They are both using modern portfolio theory, specifically mean-variance optimisation, to construct their portfolios.
The following table shows the weightings of their portfolios:
| Manager | risk-free asset | Stock A | Stock B | Stock C | Stock D | Stock E |
|---|---|---|---|---|---|---|
| Alice | 10% | 20% | 25% | 30% | 5% | 10% |
| Bob | 15% | 5% | 20% | 10% | 30% | 20% |
Give three possible reasons why Alice and Bob result in different portfolios.
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Public Finance In A Changing World
Authors: Peter Birch Sorensen
1998th Edition
0333682211, 978-0333682210
