Sub: Finance Question:
Calculation of variance of portfolio.

Topic: Portfolio management

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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% E (rB)=5% E (rC) =15% S.DEVA=5% S.DEVB=7% S.DEVC=10% A, B=0.7 A, C=-0.2 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 minimum variance portfolio. If short sales are not permitted is the solution affected?

Solution:

Global Minimum Variance Portfolio is that set of portfolios that will provide the minimum level of risk for a given level of expected return. Given a world with just the three given risk assets we can use the Solver function in Excel to ascertain the weights and variance of the global minimum variance portfolio. We have to calculate the Variance Covariance matrix for the given set of assets. While variance is given by the square of Standard Deviation and is thus entered as diagonal values in

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Sub: Finance

Topic: Portfolio management

the matrix, Covariance is given by the product of correlation between two assets and the product of their respective standard deviations (correlation a,b x SD a x SD b) We then have to calculate the Portfolio Variance and Portfolio standard deviation. Using the variance-covariance matrix and “sum product” function in Excel and...

...Consider two securities for the potential portfolio inclusion: E(r1)=25%,E(r2)=10%, 1=75%, 2=25%, 12 Draw all feasible investment combinations given these two risky assets in a plane of P, E(rp)} in Excel for four cases: (1) 12 =1, (2) 12 = 0.2, (3) 12 = - 0.2, (4) 12 = -1. What does the Efficient Frontier look like?
1
Part of this practice problem is constructed based on the homework assignment by Professor Schaumburg at Kellogg School of Management where I...

...Assignment Portfolio Theory and Management
Individual Assignment
Introduction
This report exams the performance of fund 49 from different perspectives. Then, I composed a portfolio for client Jim using fund 49 and other four asset classes. The report contains five parts, first part identifies the style of fund 49 and pick out its corresponding benchmark. Second part conducts performance evaluation by different ratios. Third part compares fund 49...

...Voorblad
Inhoudsopgave
1.0 Evaluation of two presentations 3
1.1 First presenter and topic 3
1.2 Summary 3
1.3 Praise and critique 4
1.4 Second presenter and topic 4
1.5 Summary 4
1.6 Praise and critique 5
2.0 Own presenation 5
2.1 Article name 5
2.2 Article summary 5
3.0 Evaluation of a debate 5
3.1 Opening vote 5
3.2 Summary of arguments 5
3.3 Own opinion 5
3.4 Final Vote 5
4.0 Two TV reports 5
4.1 Tv report: 6
4.2 Tv report: 6
5.0 Two...

...A PROJECT REPORT ON
PORTFOLIOMANAGEMENT
AT
SHAREKHAN LTD
HYDERABAD
A PROJECT REPORT SUBMITTED TO
[pic]
OSMANIA UNIVERSITY
HYDERABAD
IN PARTIAL FULFILLMENT OF THE REQUIREMENTS
FOR THE...

...PORTFOLIO
{draw:frame}
William Yohanes Numberi
01120090183
Faculty of Economic
Management
2009
Daftar Isi
Cover depan…………………………………………………………………………..1
Daftar isi…………………………………………………………………………………2
Kata pengantar……………………………………………………………………….3
Bab I……………………………………………………………………………………….4
-Mengenal diri sebagai pembelajar
Bab II………………………………………………………………………………………6
-Kegiatan perkuliahan
-Rangkuman
-Strategi belajar
Bab...

...Question 1 [20 marks]
1.1
A fast-food franchise has decided to start offering free deliveries within a 5 km radius from their franchise outlets. For this project you have the geographic coordinates of the outlets as well as a data layer that contains all of the roads in the country, at your disposal.
As a GIS consultant, you need to advise whether it would be better to use a buffering function or network analysis.
Firstly, explain how the results of each of these techniques will differ and...

...
Portfolio Assignment
SUS1501 – Sustainability and Greed
Student Name: Shitlhangu Mercy Tsakani
Student Number: 40525007
Date: 2014.05.06
Teaching Assistant Name: S GEORGE
Declaration:
By submitting this portfolio, I implicitly declare that this is my own work except for the “Introduction” which was kindly written for me by my lecturer.
Introduction
My aim in compiling this portfolio was to reflect on the...

...UNIVERSITY OF MUMBAI
PROJECT ON
PORTFOLIOMANAGEMENT.
SUBMITTED BY
SHUBHANGI S. ADENKAR.
PROJECT GUIDE
MRS. MINAL GANDHI.
BACHELOR OF MANAGEMENT STUDIES
SEMESTER V
(2009-10)
V.E.S. COLLEGE OF ARTS, SCIENCE & COMMERCE,
SINDHI COLONY, CHEMBUR – 400071
1
UNIVERSITY OF MUMBAI
PROJECT ON
PORTFOLIOMANAGEMENT.
Submitted
In Partial Fulfillment of the requirements
For the Award of the Degree of...

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