When US stock, Germany stock and a risk-free asset (7%) are available, please compute the combination...
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When US stock, Germany stock and a risk-free asset (7%) are available, please compute the combination of US and Germany that will give you the highest Sharpe Ratio. (Excel solver). 1. If risk-free rate is 7%, and the only risky asset available is Germany stock, what could be the optimal weight on Germany stock for an investor with a risk aversion of 4? US UK France Germany Japan Means: 0.1355 0.1589 0.1519 0.1435 0.1497 s.d.; 0.1535 0.2430 0.2324 0.2038 0.2298 Correlation matrix: UK France Germany Japan US 1.0000 0.5003 0.4398 0.3681 0.2663 UK 0.5003 1.0000 0.5420 0.4265 0.3581 FR 0.4398 0.5420 1.0000 0.6032 0.3923 GR 0.3681 0.4265 0.6032 1.0000 0.3663 JP 0.2663 0.3581 0.3923 0.3663 1.0000 US When US stock, Germany stock and a risk-free asset (7%) are available, please compute the combination of US and Germany that will give you the highest Sharpe Ratio. (Excel solver). 1. If risk-free rate is 7%, and the only risky asset available is Germany stock, what could be the optimal weight on Germany stock for an investor with a risk aversion of 4? US UK France Germany Japan Means: 0.1355 0.1589 0.1519 0.1435 0.1497 s.d.; 0.1535 0.2430 0.2324 0.2038 0.2298 Correlation matrix: UK France Germany Japan US 1.0000 0.5003 0.4398 0.3681 0.2663 UK 0.5003 1.0000 0.5420 0.4265 0.3581 FR 0.4398 0.5420 1.0000 0.6032 0.3923 GR 0.3681 0.4265 0.6032 1.0000 0.3663 JP 0.2663 0.3581 0.3923 0.3663 1.0000 US
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Related Book For
Corporate Finance
ISBN: 978-0077861759
10th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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