Documents
Resources
Learning Center
Upload
Plans & pricing Sign in
Sign Out

Finance Portfolio management - weights and variance of variance portfolio

VIEWS: 82 PAGES: 3

Calculation of variance of portfolio - Suppose there are three risky assets, A, B and C with the following expected returns, standard deviations of returns and correlation coefficients

More Info
									              Sub: Finance                                                            Topic: Portfolio management

              Question:
              Calculation of variance of portfolio.

         ClassOf1 provides expert guidance to College, Graduate, and High school students on homework and assignment problems in
                       Math, Sciences, Finance, Marketing, Statistics, Economics, Engineering, and many other subjects.




              Suppose there are three risky assets, A, B and C with the following expected returns, standard
              deviations of returns and correlation coefficients.

              E (rA)= 4%                  S.DEVA=5%                                A, B=0.7


              E (rB)=5%                   S.DEVB=7%                                A, C=-0.2


              E (rC) =15%                 S.DEVC=10%                               B,C=0.3




              QUESTION 1: Solving for the Global Minimum Variance Portfolio

              Consider a world where there are no risk free assets, and just these three risky assets.
              Suppose short sales are permitted. Solve for the weights and variance of the global 
								
To top