Modern Portfolio Theory and Utility Function
- Thread starter listeny
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for question 1, I have calculated the expected return=11.55%, risk = variance= 0.478 for part a. For part b, i think the expected return is 11.1355% and the weigh is 0.09695, 0.5833, 0.3047. The part I am stuck with is part c. I have no idea how to find the tangency portfolio.
For question 2, I am again stuck in part c, I can only calculate that a is larger than 0, but I can't prove that a cannot be smaller than 0.0009.
For question 2, I am again stuck in part c, I can only calculate that a is larger than 0, but I can't prove that a cannot be smaller than 0.0009.
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Why did you not include this information in your first post? Saves quite a bit of time.
Did you first check to see if the portfolio rates sum to unity?
Are you SURE total Expected Risk is calculated exactly the same as total Expected Return. That is not how means and variances normally would be related.
Did you first check to see if the portfolio rates sum to unity?
Are you SURE total Expected Risk is calculated exactly the same as total Expected Return. That is not how means and variances normally would be related.