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1. (a) Asset E(r) σ A 4% 0 B 19% 25% C 10% 15% P=A+B σ P = (1 −ω B ) ×σ A + ω B ×σ B ω B × 25 %=15 % →ω B =60 % Investment of A =40% × 200,000 =80,000 Investment of B=60% × 200,000 =120,000 E P = (1 −ω B ) ×E A +ω B ×E B =40% × 4% +60 % × 19 % =13% (b) 0% 5% 10% 15% 20% 25% 30% 0% 5% 10% 15% 20% (c) P=B+C ρ=0 Max E T −r f σ T With E T =ωE B +( 1−ω) E C
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ps1
Transcript of ps1
1. (a)AssetE(r)
A4%0
B19%25%
C10%15%
P=A+B= (1)
Investment of A =40%=80,000Investment of B=60%=120,000= (1)=40%=13%
(b)
(c)P=B+C Max With = ==15%, ==6%,= = =47.3684%14.2632% = 14.2326%Min VAR=min = minLet 2+2(1)=0=26.4706% 12.3824% = 12.8623%
