1. You want the volatility of your complete portfolio to be the same as the volatility...
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1. You want the volatility of your complete portfolio to be the same as the volatility of a benchmark. If the standard deviation of the benchmark is 0.20 and the standard deviation of the risky basket portfolio (non T-bill portion) is 0.30, what should be the weight on the risky basket? 2. In the above scenario, if the excess return of the benchmark is 12% and the excess return of the risky basket is 21%, what is the M-square? 3. Let the standard deviation of the benchmark be 0.20. The standard deviation of the risky basket is equal to 0.40. The excess return of the risky basket is 21% and the excess return of the benchmark is 18%. What is M-square? 1. You want the volatility of your complete portfolio to be the same as the volatility of a benchmark. If the standard deviation of the benchmark is 0.20 and the standard deviation of the risky basket portfolio (non T-bill portion) is 0.30, what should be the weight on the risky basket? 2. In the above scenario, if the excess return of the benchmark is 12% and the excess return of the risky basket is 21%, what is the M-square? 3. Let the standard deviation of the benchmark be 0.20. The standard deviation of the risky basket is equal to 0.40. The excess return of the risky basket is 21% and the excess return of the benchmark is 18%. What is M-square?
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1 To achieve the same volatility as the benchmark we need to adjust the weight of the risky basket portfolio Let w be the weight on the risky basket portfolio Then the volatility of the complete portf... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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