wB = 1 0.4516 = 0.5484 The mean and standard deviation of the optimal risky portfolio are: E(rP) = (0.4516 20) + (0.5484 12) = 15.61% p = [(0.45162 900) + (0.54842 225) + (2 0.4516 0.5484 45)]1/2 = 16.54% 13. The reward...
The ability of the investor to purchase additional amounts of the optimal risky portfolio by borrowing (i.e., buying on margin) at the risk-free rate makes higher rates of return for levels of risk greater than the optimal risky asset possible.【释义】投资者以无风险利率借款来购买更多的最优...
The optimal risky portfolio has a proportion w* in the active portfolio as follows: w0 / 2 ( e) 5.07 / 21,809 .6 0.01537 2 E(rM rf ) / M 8 / 23 2 The negative position is justified for the reason given earlier. The adjustment for ...
the optimal portfolio for any risk-averse investor is the global minimum variance the optimal portfolio for any risk-averse investor is the global minimum variance the optimal portfolio for any risk-averse investor is the...
9、or the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio.4) you require that your portfolio yield an expected return of 14%a) what is the standard deviation of your optimal portfolio?b) what is the proportion invested in the t-bi...
In this paper, we investigate the properties of the optimal portfolio in the sense of maximizing the Sharpe ratio (SR) and develop a procedure for the calculation of the risk of this portfolio. This is achieved by constructing an optimal portfolio which minimizes the Value-at-Risk (VaR) and...
32.The line representing all combinations of portfolio expected returns and standard deviations that can be constructed from two available assets is called the (A)Capital Allocation Line (B)Security Market Line (C)efficient frontier (D)portfolio opportunity set 33. Given an optimal risky portfolio ...
42. In the mean-standard deviation graph, the line that connects the risk-free rate and the optimal risky portfolio, P, is called . A) the Security Market Line B) the Capital Allocation Line C) the Indifferenee Curve D) the investors utility line E) none of the above An swer: B ...
As a result, the optimal risky portfolio of all investors is simply a share of the market portfolio in?/sites/0077432681/student_view0/ebook/chapter9/chbody1/9_1_the_capital_asset_pricing_model.htm \l id_0073530700_001_010834Figure 9.1.?Now suppose that the optimal portfolio of our ...
Under the case of different lending and borrowing rates, we obtain the optimal portfolio strategies for some reasonable objective functions that are the piecewise linear functions of the firm's current wealth and present some interesting proofs for the conclusions. The optimal policies are easy to ...