Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
Question:
a) You have just been appointed a portfolio manager of Malou investment. An investor has two assets available from which to form his desired portfolio. Asset X has an expected return of 4% and standard deviation of 9%. Asset Y has an expected return of 8% and standard deviation of 12%.
i) Assume that the returns of the two assets are perfectly positively correlated. If the investor wishes to place portfolio weight 1/3 on asset X and weight 2/3 on asset Y compute the expected return and standard deviation of the portfolio.
ii) Assume now that the two asset returns are perfectly negatively correlated. If the investor places portfolio weight of α on asset X, write down an expression for the variance of the portfolio. Demonstrate that, in this scenario, the investor can form a portfolio with zero variance and find the appropriate weights associated with this portfolio
b) ‘If correlation among security returns were perfect-if returns of all securities moved up and down together in perfect unison, diversification could do nothing to eliminate risk. The fact that security returns are highly correlated, but not perfectly correlated, implies that diversification can reduce risk but not eliminate it' Markovitz(1981).
c) Discuss the assumptions underlying the diversification theory.
solutions for this question
Ask question #A machine has a cost of $180. It will have a life of 3 years, and will be depreciated straight line to zero salvage value. It will result in sales revenue of $200 per
Top-flop division is based on the idea that the demand percentages of the 'top' and the 'flop' SKUs in a group of SKUs are fairly stable over time. For example, the 33% best-sellin
Kristina started setting aside funds three years ago to save for a down payment on a house. She has saved $900 each quarter and earned an average rate of return of 4.8 percent. How
The credit term "2/45 net 90" indicates
You are required to provide a report of approx 500 words or less (excluding attachments and references), accompanied by relevant calculations, in MS Word, MS Excel and/or PDF forma
An investor buys a French government, 10-year bond, paying annual coupon of 4.5%. Face value = 1000. The investor is unsure of his investment horizon and considers 5 horizons: 5, 6
How do mergers affect communities? A: When a locally controlled bank is merged into a bank headquartered elsewhere (an out-of-market merger), some apprehension about the instit
I need some ideas or topic for my 8-12 pages semester assignment. Further more tools to solve the assignment. I''m working in an engineering company (in a technical role).
The Chocolate ice cream company and the vanilla ice cream company have agreed to merge and form Fudge Swirl Consolidated.Both companies are exactly alike that are located in differ
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +91-977-207-8620
Phone: +91-977-207-8620
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd