Assignment 2

Assignment 2 - capital stable fund and 21.76% invested on...

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STAT2309 Assignment 2 Wong Man Ting, Vivian 2008032671 23/10/2009 Problem Sheet 3 Question 2 (part a) r Annualized expected return Annualized risk Money Market 2.9183% 0.4850% Capital Stable 8.3430% 8.7988% Balance 10.9543% 14.7224% Growth 12.2815% 18.1173% (part b) Efficient frontier consisting of portfolios of the four funds (part c)
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The optimal portfolio with maximum annualized risk of 10% is 78.24% invested on
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Unformatted text preview: capital stable fund and 21.76% invested on balanced fund. The expected annual return is 8.9112% (part d) If the utility is U(R) = μ- 0.05σ 2 , the optimal portfolio is 30.29% invested on money market fund and 69.71% invested on capital stable fund....
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This note was uploaded on 02/23/2011 for the course ECON 301 taught by Professor S.chiu during the Spring '11 term at HKU.

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Assignment 2 - capital stable fund and 21.76% invested on...

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