For each of the following pairs of investments, indicate which would always be preferred by a rational investor (assuming that these are the only investments available to the investor):   a. Portfolio A r = 18% σ = 20%   Portfolio B r = 14% σ = 20%     Preference   multiple choice 1 Portfolio A Portfolio B Indeterminate     b. Portfolio C r = 21% σ = 22%   Portfolio D r = 19% σ = 16%     Preference:   multiple choice 2 Portfolio C Portfolio D Indeterminate     c. Portfolio E r = 10% σ = 16%   Portfolio F r = 10% σ = 10%     Preference:   multiple choice 3 Portfolio E Portfolio F Indeterminate

Imagine a feasible set of portfolios with two risky assets with a correlation of -1. What name did Harry Markowitz give to the portfolios on the upper arm of the sideways 'v'? The feasible set The portfolio possibility line. The optimum set The efficient set Previous Page Next Page

Baghiben

Consider the following portfolio choice problem. The investor has initial wealth w and utility u(x)=. There is a safe asset (such as a US government bond) that has net real return of zero. There is also a risky asset with a random net return that has only two possible returns, R₁ with probability 1-q and Ro with probability q. We assume R₁ 0. Let A be the amount invested in the risky asset, so that w - A is invested in the safe asset. 1) Does the investor put more or less of his portfolio into the risky asset as his wealth increases?

Which of the following portfolios achieves the highest Sharpe ratio? (check all that applies)       Any portfolio created with a combination of mvp and risk free rate         Any portfolio created with a combination of tangency portfolio and risk free rate         Any portfolio created with a combination of mvp and tangency portfolio

An investor has a portfolio of two assets A and B. The details are shown in the below table. Portfolio Details Asset Expectedreturn Standarddeviation Covariance (A, B) Expected Portfolio Return   A 0.06 0.5 0.12 0.1 B 0.08 0.8   Which one of the following statements is NOT correct? a. The portfolio weight in asset A is -100%. b. The correlation of asset A and B’s returns is 0.3. c. The investor can benefit from a fall in the price of asset A. d. The variance of the portfolio is 2.33. e. The order of short selling is borrowing, buying, selling, and returning.

Portfolio  Suppose      rA ~ N (0.05, 0.01), rB ~ N (0.1, 0.04) with pA,B = 0.2 where rA and rB are CCR’s.  a) Suppose you construct a portfolio with 50% for A and 50% for B. Find the variance of the portfolio CCR. b) Find the portfolio expected gross return. c) Find the expected portfolio CCR.

You are choosing between the following portfolios.  Which one do you choose? Select one: a. ASD b. JKL c. Not enough information

a) Calculate the expected return and standard deviation for the following portfolios: i) All in Zii) 0.75inZand0.25inY iii) 0.5 in Z and 0.5 in Y iv) 0.25 in Z and 0.75 in Y v) All in Y b)  Draw the mean-standard deviation frontier. c)  Which portfolios might not be held by an investor who likes high expected return and low standard deviation?

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