Question

You have performed the James optimization on a portfolio with 3 assets whose risk/return characteristics are...

You have performed the James optimization on a portfolio with 3 assets whose risk/return characteristics are summarized in the table below:

Asset 1

Asset 2

Asset 3

E[r]

5.00%

10.00%

15.00%

s.d.

10.00%

15.00%

20.00%

The ‘bordered matrix’ for the optimal risky portfolio based on these three assets is given below:

Bordered matrix

W1

W2

W3

-1.522

1.585

0.938

W1

-1.522

0.0232

-0.0261

-0.0044

W2

1.585

-0.0261

0.0565

-0.0033

W3

0.938

-0.0044

-0.0033

0.0352

Please, find the optimal risky portfolio’s standard deviation return. Express your answer as a percentage with 3 digits after the decimal point.

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

optimal risky portfolio’s standard deviation return = 59.61%

W1 W2 w3
-1.522 1.585 0.938
W1 -1.522 0.0232 -0.0261 -0.0044
W2 1.585 -0.0261 0.0565 -0.0033
W3 0.938 -0.0044 -0.0033 0.0352

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
You have performed the XXXX optimization on a portfolio with 3 assets whose risk/return characteristics are...
You have performed the XXXX optimization on a portfolio with 3 assets whose risk/return characteristics are summarized in the table below: Asset 1 Asset 2 Asset 3 E[r] 5.00% 10.00% 15.00% s.d. 10.00% 15.00% 20.00% The ‘bordered matrix’ for the optimal risky portfolio based on these three assets is given below: Bordered matrix W1 W2 W3 -1.522 1.585 0.938 W1 -1.522 0.0232 -0.0261 -0.0044 W2 1.585 -0.0261 0.0565 -0.0033 W3 0.938 -0.0044 -0.0033 0.0352 1)Find the optimal risky portfolio’s expected...
You have performed the XXXX optimization on a portfolio with 3 assets whose risk/return characteristics are...
You have performed the XXXX optimization on a portfolio with 3 assets whose risk/return characteristics are summarized in the table below: Asset 1 Asset 2 Asset 3 E[r] 5.00% 10.00% 15.00% s.d. 10.00% 15.00% 20.00% The ‘bordered matrix’ for the optimal risky portfolio based on these three assets is given below: Bordered matrix W1 W2 W3 -1.522 1.585 0.938 W1 -1.522 0.0232 -0.0261 -0.0044 W2 1.585 -0.0261 0.0565 -0.0033 W3 0.938 -0.0044 -0.0033 0.0352 1)Find the optimal risky portfolio’s expected...
You wish to implement the James optimization for a portfolio containing 42 risky assets. To do...
You wish to implement the James optimization for a portfolio containing 42 risky assets. To do so, you will need to estimate three (3) different types of inputs.How many covariances do you need to implement the optimization?
A market consists of four risky assets with the following characteristics: Asset 1: Mean return =...
A market consists of four risky assets with the following characteristics: Asset 1: Mean return = 5, Risk (i.e, Standard Deviation) = 10 Asset 2: Mean return = 10, Risk = 20 Asset 3: Mean return = 15, Risk = 30 Asset 4: Mean return = 20, Risk = 40 The returns of Asset 1 have 20% correlation with returns of all the other assets. The returns of Asset 2 have 10% correlation with returns of Asset 3 and Asset...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT