This preview shows pages 1–5. Sign up to view the full content.
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 Document
Unformatted text preview: Currently your entire portfolio is comprised of stock A but you are interested in adding one more stock to your portfolio. Would you choose stock B, C or D or would you need more information? Justify your answer. 4 3. [6 marks] An economy consists of N risky assets with mean vector μ and covariance matrix Σ . Provide three formulations of the optimization problems that enable you to determine the meanvariance eﬃcient frontier. (Note you do not need to derive the eﬃcient frontier) 5 4. [3 marks] It was established that under an economy with N risky assets, the optimal portfolio x * corresponds to the meanvariance eﬃcient frontier is given by x * = x MIN + τ z * for appropriate deﬁnitions of τ, x MIN , and z * . We also noted that the portfolio z * is a selfﬁnancing portfolio. List (without proof) three additional properties associated with the portfolio z * ....
View
Full
Document
This note was uploaded on 11/18/2010 for the course ACTSC 372 taught by Professor Maryhardy during the Spring '09 term at Waterloo.
 Spring '09
 MARYHARDY

Click to edit the document details