tangency portfolio Graph shown below. 11. The graph indicates that the optimal portfolio is the tangency portfolio with expected return approximately 15.6% and standard deviation approximately 16.5%. 7-3 12. The proportion of the optimal risky portfolio invested in the stock fund is given by: wS...
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...
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...
B is correct.The CAL dominates the efficient frontier at all points except for the optimal risky portfolio. 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...
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...
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If all investors have the same expectations, then all investors should invest in the same optimal risky portfolio, therefore implying the existence of only one optimal portfolio (i.e., the market portfolio).【释义】同质性假设是指所有投资者对未来现金流具有相同的经济预期。如果所有的投资者都有相同...
英语翻译13.Consider a risky portfolio,A,with an expected rate of return of 0.15 and a standard deviation of 0.15,that lies on a given indifference curve.Which one of the following portfolios might lie on the same indifference curve?(A)E(r) = 0.15
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 ...
Answer: D Difficulty: Moderate Rationale: The CAL consists of combinations of a risky asset and a risk-free asset whose slope is the reward-to-variability ratio; thus, all statements except d are true. 26. Given the capital allocation line, an investors optimal portfolio is the portfolio ...