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Consider the following data. What is the optimum portfolio, assuming short sales are allowed (standard definition)? Trace out the efficient frontier. Below are the answers
Consider the following data. What is the optimum portfolio, assuming short sales are allowed (standard definition)? Trace out the efficient frontier.
Below are the answers provided by my lecturer, I want to know how he got to these answers.
8 3 4 4. Consider the following data. What is the optimum portfolio, assuming short sales are allowed (standard definition)? Trace out the efficient frontier. Number R 0 1 10 5 2 6 12 4 14 7 5 6 2 3 7 1 8 8 4 9 12 2 = 0.5 for all ij Rp = 4 6 9 5 10 4 10 Regardless of the method used, the resulting investment weights for the optimum portfolio are as follows: Asseti X 1 AN 4 5 6 7 8 9 10 -5.999% -17.966% 21.676% 0.478% -29.585% 12.693% -59.170% - 14.793% 3.442% 189.224% Given the above weights, the optimum (tangent) portfolio has a mean return of 18.907% and a standard deviation of 3.297%. The efficient frontier is a positively sloped straight line starting at the riskless rate of 4% and extending through the tangent portfolio (T) and out to infinity: 8 3 4 4. Consider the following data. What is the optimum portfolio, assuming short sales are allowed (standard definition)? Trace out the efficient frontier. Number R 0 1 10 5 2 6 12 4 14 7 5 6 2 3 7 1 8 8 4 9 12 2 = 0.5 for all ij Rp = 4 6 9 5 10 4 10 Regardless of the method used, the resulting investment weights for the optimum portfolio are as follows: Asseti X 1 AN 4 5 6 7 8 9 10 -5.999% -17.966% 21.676% 0.478% -29.585% 12.693% -59.170% - 14.793% 3.442% 189.224% Given the above weights, the optimum (tangent) portfolio has a mean return of 18.907% and a standard deviation of 3.297%. The efficient frontier is a positively sloped straight line starting at the riskless rate of 4% and extending through the tangent portfolio (T) and out to infinityStep by Step Solution
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