The following data is provided: Monthly returns which include those for three assets classes for? the six-year
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Question:
The following data is provided: Monthly returns which include those for three assets classes for?the six-year period to the end of December 2013.
The Cape Retirement Fund may only invest in the asset classes for which returns have been provided. The Investment Consultants and Trustees of the Fund have indicated that the risk and return requirements of the Fund indicate that exposures (weights) to the asset classes must, at all times, be constrained as follows:
QUESTIONS
- a). Your presentation must show your graph (based on your results using the data provided) in which you clearly indicate the minimum variance portfolio and the optimal portfolio?clearly indicate the Capital Market Line. Use standard deviation and beta as your risk statistics ensuring that each are presented in separate graphs.
- b). Show your recommended optimal portfolio based on the use of the Beta constraints indicated by the Trustees.
c). Motivate your final proposed optimal portfolio that you believe will best meet the needs of the Fund.
Related Book For
Financial Management for Decision Makers
ISBN: 978-0138011604
2nd Canadian edition
Authors: Peter Atrill, Paul Hurley
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