QUESTION SEVEN You are presented with the following information regarding three portfolios. The Treasury Bill return is 5% per annum. Portfolio Mean Return Standard Deviation Skewness Kurtosis X 7.8% 15.1% 0 0.7 Y 10.2% 20.5% 0.9 -1.8 Z 12.9% 29.3% -1.5 6.2

Using the Coefficient of Variation [CV] which portfolio would be your preferred choice? [4 Marks] Using the Sharpe Ratio which portfolio would be your preferred choice? [4 Marks] Interpret the above skewness results for each portfolio. [6 Marks] Interpret the above kurtosis results for each portfolio. [6 Marks] [TOTAL: 20 MARKS]