Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

The expected returns for three different assets are given as: Probability Asset A JAsset B Asset C E[r] 30% 20% 15% and the covariance matrix

image text in transcribed

The expected returns for three different assets are given as: Probability Asset A JAsset B Asset C E[r] 30% 20% 15% and the covariance matrix is given as 0.16 0.06 -0.01 0.06 0.09 -0.0225 -0.01 -0.0225 0.0625 For the assets solve the following problems: Find the minimum variance portfolio. For the minimum variance portfolio find the following values: Expected portfolio return: %. (write the return percentage as decimal number) Portfolio variance: (write it as decimal number with 4 digits after 0 (as 0.xyzt)) weight of asset A: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset B: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset : (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) Now suppose that you want an expected return of 25%. Solve the Markowitz problem and find the following variables: Portfolio variance: (write it as decimal number with 4 digits after 0 (as 0.xyzt)) weight of asset A: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset B: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset C: The expected returns for three different assets are given as: Probability Asset A JAsset B Asset C E[r] 30% 20% 15% and the covariance matrix is given as 0.16 0.06 -0.01 0.06 0.09 -0.0225 -0.01 -0.0225 0.0625 For the assets solve the following problems: Find the minimum variance portfolio. For the minimum variance portfolio find the following values: Expected portfolio return: %. (write the return percentage as decimal number) Portfolio variance: (write it as decimal number with 4 digits after 0 (as 0.xyzt)) weight of asset A: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset B: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset : (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) Now suppose that you want an expected return of 25%. Solve the Markowitz problem and find the following variables: Portfolio variance: (write it as decimal number with 4 digits after 0 (as 0.xyzt)) weight of asset A: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset B: (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) (write it as decimal number with 2 digits after 0 (as 0.11 for a weight of 0.1074345)) weight of asset C

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

Step: 3

blur-text-image

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

Finance

Authors: Ehsan Nikbakht, A A Groppelli

6th Edition

0764147595, 9780764147593

More Books

Students also viewed these Finance questions