What are the confidence-adjusted portfolio weights

Assignment Help Financial Management

Reference no: EM131057638

Based on Black-Litterman optimization, you obtained an optimal portfolio which invests 70% and 40% funds in stocks A and B and short-sells 10 percent of stock C. However, you are only 80% confident about your opinion. When the market capitalization of stocks A, B, and C are 6 million dollars, 3 million dollars, and 4 million dollars respectively, what are the confidence-adjusted portfolio weights?

Reference no: EM131057638

Questions Cloud

Component cost of preferred stock : ILK has preferred stock selling for 96 percent of par that pays a 5 percent annual coupon. What would be ILK’s component cost of preferred stock?

Specific on the tools of monetary policy : The economy is slowing down, not growing and unemployment is going up. If you are on the Federal Reserve Board of Governors what type of policy would you pursue? Please be specific on the tools of monetary policy.

What is your principle-interest and balance of the payment : You are purchasing a home for $200,000 with a 20% down payment. You will pay 6% interest, for a 15 year loan. How much is your payment for the home (insurance is $60 per month and taxes are $85 per month.) What is your principle, interest and balance..

What is the firmsweighted average cost of capital : Jensen's has expected earnings before interest and taxes of $6,200. Its unlevered cost of capital is 14 percent and its tax rate is 34 percent. The firm has debt with both a book and a face value of $2,500. This debt has a 9 percent coupon and pays i..

What are the confidence-adjusted portfolio weights : Based on Black-Litterman optimization, you obtained an optimal portfolio which invests 70% and 40% funds in stocks A and B and short-sells 10 percent of stock C. However, you are only 80% confident about your opinion. When the market capitalization o..

What annual rate of return : What annual rate of return would grandma zoe need to earn if she deposits $1,000 per month into an account beginning one month from today in order to have a total of $1,000,000 in 30 years?

What is georgias recourse at the present time : What is Georgia's recourse at the present time? What can she do, if anything, if she is terminated? What will happen to her health benefits if she is terminated from the company?

Islam empire of faith part : Islam Empire of Faith Part 1 Prophet Muhammad and rise of Islam full PBS Documentary

Goal of the promotion : 2. Look at Exhibit 15.2 (Communication Process) and explain if the commercial is effective at reaching its intended target. 3. What do you consider to be the goal of the promotion (inform, persuade, or remind)?

User Account

All Pages