Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Consider the following table of annual rates of return, in percentage, for four common risky assets over the time period 2010 to 2019 Berkshire Hathaway

image text in transcribed

Consider the following table of annual rates of return, in percentage, for four common risky assets over the time period 2010 to 2019 Berkshire Hathaway (ticker: BRK/A) S&P 500 Index (ticker: SPX) NASDAQ 100 Index (ticker: NDX) Russell 2000 Index (ticker: RUT) . YEAR BRK/A SPX NDX RUT 2010 21.4 15.1 19.22 26.85 2011 -4.7 2.1 2.7 -4.18 2012 16.8 16 16.82 16.35 2013 32.7 32.4 34.99 38.82 2014 27 13.7 17.94 4.89 2015 -12.5 1.4 8.43 4.41 2016 23.4 12 5.89 21.31 2017 21.9 21.8 31.52 14.65 2018 2.8 44 -1.04 -11.01 2019 11 31.5 37.96 25.52 Assuming there is no risk-free asset available, suppose you desire to invest in a portfolio of these 4 risky assets such that you minimize the portfolio variance, subject to the constraint that the portfolio weights sum to 1. Note that short positions (negative weights) are permissible. Using mean-variance portfolio optimization, determine the 4 minimum variance portfolio weightings and the minimum portfolio variance. Please enter your solutions in the answer boxes for Questions 1 to 5. What is the portfolio weight for BRK/A? Please express your numerical answer in decimal (not percentage) form and round your answer to two decimal places. Consider the following table of annual rates of return, in percentage, for four common risky assets over the time period 2010 to 2019 Berkshire Hathaway (ticker: BRK/A) S&P 500 Index (ticker: SPX) NASDAQ 100 Index (ticker: NDX) Russell 2000 Index (ticker: RUT) . YEAR BRK/A SPX NDX RUT 2010 21.4 15.1 19.22 26.85 2011 -4.7 2.1 2.7 -4.18 2012 16.8 16 16.82 16.35 2013 32.7 32.4 34.99 38.82 2014 27 13.7 17.94 4.89 2015 -12.5 1.4 8.43 4.41 2016 23.4 12 5.89 21.31 2017 21.9 21.8 31.52 14.65 2018 2.8 44 -1.04 -11.01 2019 11 31.5 37.96 25.52 Assuming there is no risk-free asset available, suppose you desire to invest in a portfolio of these 4 risky assets such that you minimize the portfolio variance, subject to the constraint that the portfolio weights sum to 1. Note that short positions (negative weights) are permissible. Using mean-variance portfolio optimization, determine the 4 minimum variance portfolio weightings and the minimum portfolio variance. Please enter your solutions in the answer boxes for Questions 1 to 5. What is the portfolio weight for BRK/A? Please express your numerical answer in decimal (not percentage) form and round your answer to two decimal places

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Real Estate Finance Theory And Practice

Authors: Terrence M. Clauretie, G. Stacy Sirmans

4th Edition

032414377X, 978-0324143775

More Books

Students also viewed these Finance questions

Question

What could Jean do to break the Facebook habit?

Answered: 1 week ago

Question

What are the objectives of Human resource planning ?

Answered: 1 week ago

Question

Explain the process of Human Resource Planning.

Answered: 1 week ago

Question

Describe some common hazards in the contemporary workplace

Answered: 1 week ago