Question
Suppose you are a head of a hedge fund and are thinking to create a portfolio investing just in these three stocks. The portfolio weights,
Suppose you are a head of a hedge fund and are thinking to create a portfolio investing just in these three stocks. The portfolio weights, volatility and correlation with the market portfolio of the three stocks are given in the table below:
| Portfolio weight | Volatility | Correlation with the market portfolio | |
| Yahoo | 0.25 | 12% | 0.4 |
| Microsoft | 0.35 | 25% | 0.6 |
| | 0.4 | 13% | 0.5 |
1. If you expect to receive a rate of return 9% on this portfolio , would you invest in this portfolio? Explain?
2.Assumethe CAPM correctly prices risk, is the market portfolio efficient? Explain why.
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Symmetry Broken Symmetry And Topology In Modern Physics A First Course
Authors: Mike Guidry, Yang Sun
1st Edition
1316518612, 978-1316518618
