What is the maximum weight of foreign equities in any portfolio on the efficient frontier? (5...

  

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What is the maximum weight of foreign equities in any portfolio on the efficient frontier? (5 points) What are the asset class weights in an efficient portfolio with an expected return of 8.6 percent? (10 points) Which asset class is most important in the 8.6 percent expected-return efficient portfolio? Explain. (5 points) Institutional Investor - Corner Portfolios Corner Portfolio Number 1 2 3 4 5 6 7 Asset Class (Portfolio Weights) Expected Standard Sharpe Domestic Foreign Intermediate Long-Term Return Deviation Ratio Equities Equities Bonds Bonds 10,0% 8,9% 8,4% 7,9% 7,3% 6,1% 5,3% 15,0% 11,0% 9,8% 9,0% 7,8% 5,9% 5,4% 0,53 0,62 0,65 0,66 0,68 0,7 0,62 100,0% 61,9% 40,3% 32,5% 0,0% 0,0% 13,9% 14,3% 19,9% 21,1% 0,0% 26,6% 0,0% 13,0% 0,0% 0,0% 0,0% 0,0% 16,9% 37,8% 59,9% 0,0% 0,0% 0,0% 0,0% 0,0% 0,0% 0,0% International Bonds 0,0% 0,0% 0,0% 8,7% 0,0% 0,0% 0,0% Real Estate 0,0% 38,1% 45,8% 44,5% 42,1% 35,6% 27,1% What is the maximum weight of foreign equities in any portfolio on the efficient frontier? (5 points) What are the asset class weights in an efficient portfolio with an expected return of 8.6 percent? (10 points) Which asset class is most important in the 8.6 percent expected-return efficient portfolio? Explain. (5 points) Institutional Investor - Corner Portfolios Corner Portfolio Number 1 2 3 4 5 6 7 Asset Class (Portfolio Weights) Expected Standard Sharpe Domestic Foreign Intermediate Long-Term Return Deviation Ratio Equities Equities Bonds Bonds 10,0% 8,9% 8,4% 7,9% 7,3% 6,1% 5,3% 15,0% 11,0% 9,8% 9,0% 7,8% 5,9% 5,4% 0,53 0,62 0,65 0,66 0,68 0,7 0,62 100,0% 61,9% 40,3% 32,5% 0,0% 0,0% 13,9% 14,3% 19,9% 21,1% 0,0% 26,6% 0,0% 13,0% 0,0% 0,0% 0,0% 0,0% 16,9% 37,8% 59,9% 0,0% 0,0% 0,0% 0,0% 0,0% 0,0% 0,0% International Bonds 0,0% 0,0% 0,0% 8,7% 0,0% 0,0% 0,0% Real Estate 0,0% 38,1% 45,8% 44,5% 42,1% 35,6% 27,1%

Answer rating: 100% (QA)

In order to answer these questions well need to look at the provided table of institutional investor corner portfolios and apply some concepts from mo... View the full answer