Question

Discuss the mean-variance frontier in the optimal portfolio theory for the fund

Discuss the mean-variance frontier in the optimal portfolio theory for the fund

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

In a modern portfolio theory which is also known as mean - variance analysis where mean is used as a measure of return and variance is used as a measure of risk. It provide optimal potfolio on the efficient frontier which is a curve formed by all the different portfolio. We take only upper half of the curve and it provide optimal portfolio at tangency with capital allocation line.

CAL has intercept as risk free asset and tagency point with efficient frontier will give the optimal portfolio for the fund.

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
Define efficient frontier line and minimum variance portfolio
Define efficient frontier line and minimum variance portfolio
An investment fund analyses 60 stocks in order to construct an optimal portfolio constrained by 60...
An investment fund analyses 60 stocks in order to construct an optimal portfolio constrained by 60 stocks. They will need to calculate ____________ variance-covariances matrix parameters using Markowitz portfolio theory and ____________ parameters using single index structure. A. 1800; 60 B. 1830; 182 C. 60; 60 D. 60; 182 E. 1830; 60
An investment fund analyses 60 stocks in order to construct an optimal portfolio constrained by 60...
An investment fund analyses 60 stocks in order to construct an optimal portfolio constrained by 60 stocks. They will need to calculate ____________ variance-covariances matrix parameters using Markowitz portfolio theory and ____________ parameters using single index structure. A. 1800; 60 B. 1830; 182 C. 60; 60 D. 60; 182 E. 1830; 60
An efficient frontier is: A combination of securities that lie below the minimum variance portfolio and...
An efficient frontier is: A combination of securities that lie below the minimum variance portfolio and above the maximum return portfolio A combination of securities that have some expected return for each level of risk The envelope curve of all portfolios that lie between the minimum variance portfolio and the maximum return portfolio The combination of securities of portfolios represented as a convex function A combination of securities that lie below the minimum variance portfolio and the maximum return portfolio
Briefly explain the role of correlations, variance and covariance in portfolio theory.
Briefly explain the role of correlations, variance and covariance in portfolio theory.
a) Explain the concepts of variance (total risk) and beta (systematic risk) in portfolio theory and...
a) Explain the concepts of variance (total risk) and beta (systematic risk) in portfolio theory and the capital asset pricing model. b) Discuss why according to the capital asset pricing model that total risk should not be rewarded by the capital market. You may use diagrams in your explanation if you wish.
There are three distinct frontier portfolios, A, B and C. Portfolio Expected Returns Standard Deviation A...
There are three distinct frontier portfolios, A, B and C. Portfolio Expected Returns Standard Deviation A 0.4 0.40 B 0.2 0.30 C 0.3 0.25 Compute, ρAB, the correlation between frontier portfolios A and B. Calculate the expected return on the global minimum variance portfolio. Calculate the maximum possible Sharpe Ratio from these frontier portfolios, when the risk free rate is 2% per annum. d. Explain, illustrating with graphs, the difference between the portfolio frontier when there is a risk free...
Discuss the trade-off theory of capital structure, including the determination of an optimal debt level.
Discuss the trade-off theory of capital structure, including the determination of an optimal debt level.
All of the following correctly describes portfolio mean-variance optimization except? A. maximize portfolio mean for certain...
All of the following correctly describes portfolio mean-variance optimization except? A. maximize portfolio mean for certain portfolio risk B. maximize portfolio mean for certain portfolio return variance C. minimize portfolio return risk for certain portfolio return D. maximize portfolio return risk for certain portfolio return
Question # 3. Markowitz theory indicates to create and construct a portfolio of assets to maximize...
Question # 3. Markowitz theory indicates to create and construct a portfolio of assets to maximize returns within a given level of risk, or to devise one with a desired, specified and expected level of return with the least amount of risk. Under this broader concept, answer the followings: Justify, why an optimal portfolio should lie on security market line curve                                                            b. Being an efficient market investor, justify how an efficient frontier curve can be helpful for you in...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT