Microsoft Word - QANT 620_Finalexam.doc Q2. Betsy Moore wants to invest in the stocks of companies A,
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Q2. Betsy Moore wants to invest in the stocks of companies A, B, C, and D, whose annual returns for the past twelve years are as follows:
Annual Return
Year 1 2 3 4 5 6 7 8 9 10 11 12
A 8.00% 9.20% 7.70% 6.60% 18.50% 7.40% 13.00% 22.00% 14.00% 20.50% 14.00% 19.00%
B 12.00% 8.50% 13.00% 2.60% 7.80% 3.20% 9.80% 13.50% 6.50% 3.50% 17.50% 14.50%
Microsoft Word - QANT 620_Finalexam.doc
Betsy Moore wants to invest in the stocks of companies. Suppose that Betsy is completely riskaverse. What percentage of her portfolio should be invested in each stock and what would the expected risk and return be on the resulting portfolio?
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