Question
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
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 |
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Using the Coefficient of Variation [CV] which portfolio would be your preferred choice? [4 Marks]
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Using the Sharpe Ratio which portfolio would be your preferred choice? [4 Marks]
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Interpret the above skewness results for each portfolio. [6 Marks]
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Interpret the above kurtosis results for each portfolio. [6 Marks]
[TOTAL: 20 MARKS]
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Auditing Cases An Active Learning Approach
Authors: Mark S. Beasley, Frank A. Buckless, Steven M. Glover, Douglas F. Prawitt
2nd Edition
0130674842, 978-0130674845
