Question

Refer to Exercise.
In exercise, barrick Gold (ABX), Bombardier (BBD.B), Bell Canada Enterprises (BCE), Bank of Montreal (BMO), Bank of Nova Scotia (BNS), Canadian Imperial Bank of Commerce (CM), Canadian National Railways (CNR), Canadian Oil Sands (COS), Canadian Tire (CTC.A), Encana (ECA), Enbridge (ENB), Manulife Financial (MFG), Magna International (MG), Potash Corporation of Saskatchewan (POT), Power Corporation of Canada (POW), Research in Motion (RIM), Rogers Communication (RCI.B), Royal Bank of Canada (RY), Shaw Communications (SJR.B), Suncor Energy (SU), Telus (T), Tim Horton’s (THI)

a. Compute the expected value and variance of the portfolio described next.
BNS (4.9%), CNR (65.1%), CTC.A (27.5%), MG (2.5%)
b. Can you do better? That is, can you find a portfolio whose expected value is greater than or equal to 1% and whose variance is less than the one you calculated in part (a)?



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  • CreatedFebruary 03, 2015
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