This preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full DocumentThis preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: that minimize portfolio variance. State p A B Depressio n 0.16% 25% Recession 0.2 0% 31% Normal 0.4 9% 22% Boom 0.3 20%15% Expected return 9.00% 13.00% Standard deviaTon 8.66% 18.62% 4 Chapter 6 Example on optimal portfolio Using the below table, (risk free rate = 5%), calculate the weights of securities A and B for the optimal portfolio State p A B Depressio n 0.16% 25% Recession 0.2 0% 31% Normal 0.4 9% 22% Boom 0.3 20%15% Expected return 9.00% 13.00% Standard deviaTon 8.66% 18.62% 5 Chapter 6 Example on portfolio efficiency Using the below information, is a $100,000 portfolio with $30,000 invested in security A and the remainder invested in security B efficient if the expected return of the market portfolio is 12% and its standard deviation is 8%? State p A B Depressio n 0.16% 25% Recession 0.2 0% 31% Normal 0.4 9% 22% Boom 0.3 20%15% Expected return 9.00% 13.00% Standard deviaTon 8.66% 18.62% 6...
View
Full Document
 Fall '08
 JONES
 Management, Normal Distribution, Standard Deviation, Variance, Modern portfolio theory, Cauchy distribution

Click to edit the document details