Assume a portfolio with 8 risky stocks. Hereafter you find their expected rate of return, volatility...
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Assume a portfolio with 8 risky stocks. Hereafter you find their expected rate of return, volatility Volatility 14% 28% Stock A B C D E F G H and correlation matrix A B C D E F G H Expected return 10% 15% 8% 13% 34% 5% 27% 14% A 1 0.3 0.65 0.13 0.56 -0.44 0.31 0.01 3% 21% 40% 7% 36% 26% B 1 0.22 0.04 0.07 0.01 0.53 -0.7 C 1 0.3 0.08 -0.12 0.2 0.4 D 1 0.05 0.11 0.23 -0.41 E 1 0.5 0.06 0.04 F 1 -0.34 0.25 If your total investment is $100,000 and the short sales are not allowed, how much money should you invest in stock F in order to achieve portfolio volatility (MVP)? (Use Solver) G 1 0.03 H 1 Assume a portfolio with 8 risky stocks. Hereafter you find their expected rate of return, volatility Volatility 14% 28% Stock A B C D E F G H and correlation matrix A B C D E F G H Expected return 10% 15% 8% 13% 34% 5% 27% 14% A 1 0.3 0.65 0.13 0.56 -0.44 0.31 0.01 3% 21% 40% 7% 36% 26% B 1 0.22 0.04 0.07 0.01 0.53 -0.7 C 1 0.3 0.08 -0.12 0.2 0.4 D 1 0.05 0.11 0.23 -0.41 E 1 0.5 0.06 0.04 F 1 -0.34 0.25 If your total investment is $100,000 and the short sales are not allowed, how much money should you invest in stock F in order to achieve portfolio volatility (MVP)? (Use Solver) G 1 0.03 H 1
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Related Book For
Elementary Statistics In Social Research Essentials
ISBN: 9780205638000
3rd Edition
Authors: Jack A. Levin, James Alan Fox
Posted Date:
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