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Asset Allocation: Best Allocation Based on Risk Target The efficient frontier below is below based on the nine asset classes studied in class where shorting

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Asset Allocation: Best Allocation Based on Risk Target The efficient frontier below is below based on the nine asset classes studied in class where shorting is allowed. Assume you are seeking a return of 0.094. Note that this decimal is different for different students. If it says.094, this means 9.4%, if it says.091 this means 9.1% and so on. What weight should you allocate to SPX (S&P 500) How to enter answer: Enter your answer in three decimals. That is, if it is 54.2%, write 0.542. 14N 12 10N BN Return 6N 4 2. ON ON 2N 10N 121 4N 6% 8N Standard Deviation s Efficient Frontier .-CAL Efficient Frontier Portfolio Weghts SPX MSCI WXUS MSCI EM HY USGOV GOVXUS WTI GLD USREIT Min Var Optimum 5.6% 37.2% 12.8% -4.6% 23.3% 15.2% 33.1% 80.2% 93.2% -2.25 -39.4% 0.7% -10% 5.6% -6,7% 4.0% 46.1% -65.2 31.1% 38.1% 96.9% 49.8% -1.5% 7.4% 3.2% 54.4% -81.2% 38.5% 42.9% 100.4% -59.6% -1.9% 9.2% -2.5% 1.ON 2.00% 0.00% Portfolio Retur Portfolio Standard Deviation Sharpe Ratio CAL Slope 4.15% 3.19% 0.67 5.57% 7.90% 5.30% 1.1206 7.94% 1.50 9.00 6.29% 1.1134 9.05% 10.00 7.27% 1.1001 10.15% 2.00% Asset Allocation: Best Allocation Based on Risk Target The efficient frontier below is below based on the nine asset classes studied in class where shorting is allowed. Assume you are seeking a return of 0.094. Note that this decimal is different for different students. If it says.094, this means 9.4%, if it says.091 this means 9.1% and so on. What weight should you allocate to SPX (S&P 500) How to enter answer: Enter your answer in three decimals. That is, if it is 54.2%, write 0.542. 14N 12 10N BN Return 6N 4 2. ON ON 2N 10N 121 4N 6% 8N Standard Deviation s Efficient Frontier .-CAL Efficient Frontier Portfolio Weghts SPX MSCI WXUS MSCI EM HY USGOV GOVXUS WTI GLD USREIT Min Var Optimum 5.6% 37.2% 12.8% -4.6% 23.3% 15.2% 33.1% 80.2% 93.2% -2.25 -39.4% 0.7% -10% 5.6% -6,7% 4.0% 46.1% -65.2 31.1% 38.1% 96.9% 49.8% -1.5% 7.4% 3.2% 54.4% -81.2% 38.5% 42.9% 100.4% -59.6% -1.9% 9.2% -2.5% 1.ON 2.00% 0.00% Portfolio Retur Portfolio Standard Deviation Sharpe Ratio CAL Slope 4.15% 3.19% 0.67 5.57% 7.90% 5.30% 1.1206 7.94% 1.50 9.00 6.29% 1.1134 9.05% 10.00 7.27% 1.1001 10.15% 2.00%

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