Investors short sell, Financial Econometrics

Assignment Help:

Pythagoras Jones has just inherited $1,000,000 and wishes to invest this sum in the ?ve funds given below.

Fund     Name                                Code               Return                Risk
P1    Aussie Growth Limits              (AG)                   .065               .035
P2    Wealthy People Leverage     (WPL)                   .080                .025
P3    Christmas Stocking Revenues (CSR)                .105                 . 030
P4    Best Haven Protection         (BHP)                    .115                 .040
P5    Cash Bene?t Assets             (CBA)                  .135                  .050

Funds P1, P3 have a negative correlation coe?cient -0.3 and funds P2, P5 a positive correlation cofficient +0.6. All other pairs of funds are uncorrelated. There are no restrictions on short selling and Pythagoras has a risk aversion parameter claculated to be t = 0.005 units.

1. Explain which investors short sell in this market and which funds they short sell. Are there any funds which no-one will short sell?


Related Discussions:- Investors short sell

Explain the theoretical impact on the risk discount rate, Question : A ...

Question : A proprietary life company issues only non-profit guaranteed growth bonds. The company invests only in equities with an expected return of 10% p.a, the risk free rat

International monetary fund, The international monetary fund and the world ...

The international monetary fund and the world bank are the main lending financial institutions that give assistance to developing nations in the restoration of their economy. Wh

Foreign direct investment, PASE plc is a UK-based international energy comp...

PASE plc is a UK-based international energy company, which currently operates wholly-owned subsidiaries in Europe and North America. PASE plc's strategy is to generate future growt

Describe the working capital, Q. Describe the Working capital? Working ...

Q. Describe the Working capital? Working capital is the capital available for conducting day-to-day operations of the business and includes current assets and current liabiliti

Working capital cycle - cash cycle, Working capital cycle measures the time...

Working capital cycle measures the time between paying for goods supplied to you and final receipt of cash to you from their sale. It is desirable to keep this cycle as short as po

Find out the portfolio weight, Question You have a portfolio consisting...

Question You have a portfolio consisting solely of stock A and stock B. The portfolio has an expected return of 10.2%. Stock A has an expected return of 12% while stock B is ex

Show the quick ratio or acid test, Q. Show the Quick ratio or acid test? ...

Q. Show the Quick ratio or acid test? Quick ratio = Current assets less inventories/Current liabilities (times) This ratio measures immediate solvency of a business as it re

Acceptance sampling, Acceptance Sampling is a statistical measure used in q...

Acceptance Sampling is a statistical measure used in quality control. A company cannot test all of its products because of ruining the products, or the volume of products being ver

Current ratio or working capital ratio, Current ratio (CA) or working capit...

Current ratio (CA) or working capital ratio CA = Current assets/Current liabilities (times) Current ratio measures the short term solvency or liquidity; it signifies the ext

Analyse keyness model of liquidity preference, Problem : PART A (a) ...

Problem : PART A (a) Analyse Keynes's model of liquidity preference. (b) Analyse the instruments central banks use to control the supply of money in the economy. PA

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

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!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd