Yasmin is a mean-variance optimising investor with risk-aversion A =.pdf

Yasmin is a mean-variance optimising investor with risk-aversion A = 2. She has 100 to invest. There are two stocks that Yasmin can choose for her investment portfolio. The first stock has an expected return of 14% with a standard deviation of 20%. The second stock has an expected return of 8% with a standard deviation of 10%. The returns on the two stocks have a correlation coefficient of = 0.75 ANSWER QUESTION B Now suppose Yasmin can invest in both stocks. Construct the optimal portfolio of the two stocks, i.e. work out the mean-variance maximisation problem maxw{E[Rp]21Ap2} for a portfolio p consisting of stock 1 and stock 2. How should Yasmin optimally allocate her budget of 100 ? [22pts].

Yasmin is a mean-variance optimising investor with risk-aversion A = 2. She has 100 to
invest. There are two stocks that Yasmin can choose for her investment portfolio. The first
stock has an expected return of 14% with a standard deviation of 20%. The second stock has
an expected return of 8% with a standard deviation of 10%. The returns on the two stocks
have a correlation coefficient of = 0.75.
(a) Suppose Yasmin can only invest in one of the two stocks. Should she choose stock 1 or
stock 2?

Recommandé

You are a compensation analyst for L & M Engineering Inc. and you ha.pdf par
You are a compensation analyst for L & M Engineering Inc. and you ha.pdfYou are a compensation analyst for L & M Engineering Inc. and you ha.pdf
You are a compensation analyst for L & M Engineering Inc. and you ha.pdfAMIOPTICPLUS
6 vues1 diapositive
Yoor assistance with this will be appreciated. Please answer typed i.pdf par
Yoor assistance with this will be appreciated. Please answer typed i.pdfYoor assistance with this will be appreciated. Please answer typed i.pdf
Yoor assistance with this will be appreciated. Please answer typed i.pdfAMIOPTICPLUS
2 vues1 diapositive
Yasmin is a mean-variance optimising investor with risk-aversion A.pdf par
Yasmin is a mean-variance optimising investor with risk-aversion A.pdfYasmin is a mean-variance optimising investor with risk-aversion A.pdf
Yasmin is a mean-variance optimising investor with risk-aversion A.pdfAMIOPTICPLUS
2 vues1 diapositive
Yolo Windows, a manufacturer of windows for commercial buildings, re.pdf par
Yolo Windows, a manufacturer of windows for commercial buildings, re.pdfYolo Windows, a manufacturer of windows for commercial buildings, re.pdf
Yolo Windows, a manufacturer of windows for commercial buildings, re.pdfAMIOPTICPLUS
3 vues6 diapositives
Y=1Y=0C=1C=0 In the above diagram, we have the ground truth values (Y).pdf par
Y=1Y=0C=1C=0 In the above diagram, we have the ground truth values (Y).pdfY=1Y=0C=1C=0 In the above diagram, we have the ground truth values (Y).pdf
Y=1Y=0C=1C=0 In the above diagram, we have the ground truth values (Y).pdfAMIOPTICPLUS
2 vues1 diapositive
y=x+W=w1w2w4 What is the least square estnmate for .pdf par
y=x+W=w1w2w4 What is the least square estnmate for  .pdfy=x+W=w1w2w4 What is the least square estnmate for  .pdf
y=x+W=w1w2w4 What is the least square estnmate for .pdfAMIOPTICPLUS
2 vues1 diapositive

Contenu connexe

Plus de AMIOPTICPLUS

Y=$6,000+1.pdf par
Y=$6,000+1.pdfY=$6,000+1.pdf
Y=$6,000+1.pdfAMIOPTICPLUS
4 vues1 diapositive
XYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdf par
XYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdfXYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdf
XYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdfAMIOPTICPLUS
2 vues1 diapositive
XYZ Corporation uses a process costing system to collect costs related.pdf par
XYZ Corporation uses a process costing system to collect costs related.pdfXYZ Corporation uses a process costing system to collect costs related.pdf
XYZ Corporation uses a process costing system to collect costs related.pdfAMIOPTICPLUS
2 vues1 diapositive
XYZ Concept manufactures small tables in its Processing Department. Di.pdf par
XYZ Concept manufactures small tables in its Processing Department. Di.pdfXYZ Concept manufactures small tables in its Processing Department. Di.pdf
XYZ Concept manufactures small tables in its Processing Department. Di.pdfAMIOPTICPLUS
3 vues1 diapositive
xx warlance stacdard dewotson.pdf par
xx warlance stacdard dewotson.pdfxx warlance stacdard dewotson.pdf
xx warlance stacdard dewotson.pdfAMIOPTICPLUS
2 vues1 diapositive
XYXY1.012.84821.3126.2 1.484.27721.564.57081.pdf par
XYXY1.012.84821.3126.2 1.484.27721.564.57081.pdfXYXY1.012.84821.3126.2 1.484.27721.564.57081.pdf
XYXY1.012.84821.3126.2 1.484.27721.564.57081.pdfAMIOPTICPLUS
2 vues4 diapositives

Plus de AMIOPTICPLUS(20)

XYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdf par AMIOPTICPLUS
XYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdfXYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdf
XYZ y ABC celebran un swap de tipos de inter�s est�ndar de tres a�os.pdf
AMIOPTICPLUS2 vues
XYZ Corporation uses a process costing system to collect costs related.pdf par AMIOPTICPLUS
XYZ Corporation uses a process costing system to collect costs related.pdfXYZ Corporation uses a process costing system to collect costs related.pdf
XYZ Corporation uses a process costing system to collect costs related.pdf
AMIOPTICPLUS2 vues
XYZ Concept manufactures small tables in its Processing Department. Di.pdf par AMIOPTICPLUS
XYZ Concept manufactures small tables in its Processing Department. Di.pdfXYZ Concept manufactures small tables in its Processing Department. Di.pdf
XYZ Concept manufactures small tables in its Processing Department. Di.pdf
AMIOPTICPLUS3 vues
xx warlance stacdard dewotson.pdf par AMIOPTICPLUS
xx warlance stacdard dewotson.pdfxx warlance stacdard dewotson.pdf
xx warlance stacdard dewotson.pdf
AMIOPTICPLUS2 vues
XYXY1.012.84821.3126.2 1.484.27721.564.57081.pdf par AMIOPTICPLUS
XYXY1.012.84821.3126.2 1.484.27721.564.57081.pdfXYXY1.012.84821.3126.2 1.484.27721.564.57081.pdf
XYXY1.012.84821.3126.2 1.484.27721.564.57081.pdf
AMIOPTICPLUS2 vues
Xt=Xt1+wt,wtWN(0,w2)�and�1. Define the new process Yt=Xt1Xt1. 1 Show .pdf par AMIOPTICPLUS
Xt=Xt1+wt,wtWN(0,w2)�and�1. Define the new process Yt=Xt1Xt1. 1 Show .pdfXt=Xt1+wt,wtWN(0,w2)�and�1. Define the new process Yt=Xt1Xt1. 1 Show .pdf
Xt=Xt1+wt,wtWN(0,w2)�and�1. Define the new process Yt=Xt1Xt1. 1 Show .pdf
AMIOPTICPLUS2 vues
xP(x)0.22871.35582.25703.1142 find population me.pdf par AMIOPTICPLUS
xP(x)0.22871.35582.25703.1142 find population me.pdfxP(x)0.22871.35582.25703.1142 find population me.pdf
xP(x)0.22871.35582.25703.1142 find population me.pdf
AMIOPTICPLUS2 vues
xercise 11-1 Assume the weight of a bag of microwave popcorn from a .pdf par AMIOPTICPLUS
xercise 11-1 Assume the weight of a bag of microwave popcorn from a .pdfxercise 11-1 Assume the weight of a bag of microwave popcorn from a .pdf
xercise 11-1 Assume the weight of a bag of microwave popcorn from a .pdf
AMIOPTICPLUS3 vues
x3(1x)4 for 0x1 is the variable part of the density of what random v.pdf par AMIOPTICPLUS
x3(1x)4 for 0x1 is the variable part of the density of what random v.pdfx3(1x)4 for 0x1 is the variable part of the density of what random v.pdf
x3(1x)4 for 0x1 is the variable part of the density of what random v.pdf
AMIOPTICPLUS2 vues
x=1x rce 15,000 in the purdicton ieckival, manepers ihcult.pdf par AMIOPTICPLUS
x=1x rce 15,000 in the purdicton ieckival, manepers ihcult.pdfx=1x rce 15,000 in the purdicton ieckival, manepers ihcult.pdf
x=1x rce 15,000 in the purdicton ieckival, manepers ihcult.pdf
AMIOPTICPLUS2 vues
X1,�,Xn are iid, each with mean and variance 2; Xn=102.5; - ~=15; and.pdf par AMIOPTICPLUS
X1,�,Xn are iid, each with mean  and variance 2; Xn=102.5; - ~=15; and.pdfX1,�,Xn are iid, each with mean  and variance 2; Xn=102.5; - ~=15; and.pdf
X1,�,Xn are iid, each with mean and variance 2; Xn=102.5; - ~=15; and.pdf
AMIOPTICPLUS2 vues
x0.01940.97720.12820.37770.01740.90230.69740.44330.68770.48990.35320.7.pdf par AMIOPTICPLUS
x0.01940.97720.12820.37770.01740.90230.69740.44330.68770.48990.35320.7.pdfx0.01940.97720.12820.37770.01740.90230.69740.44330.68770.48990.35320.7.pdf
x0.01940.97720.12820.37770.01740.90230.69740.44330.68770.48990.35320.7.pdf
AMIOPTICPLUS2 vues
Wyoming Products Inc. completed and transferred 152,000 particle boa.pdf par AMIOPTICPLUS
Wyoming Products Inc. completed and transferred 152,000 particle boa.pdfWyoming Products Inc. completed and transferred 152,000 particle boa.pdf
Wyoming Products Inc. completed and transferred 152,000 particle boa.pdf
AMIOPTICPLUS4 vues
Written descriptions of how to input data and how to invoke the func.pdf par AMIOPTICPLUS
Written descriptions of how to input data and how to invoke the func.pdfWritten descriptions of how to input data and how to invoke the func.pdf
Written descriptions of how to input data and how to invoke the func.pdf
AMIOPTICPLUS5 vues
You expect Spring Hill stock to pay a $1.23 dividend one year from n.pdf par AMIOPTICPLUS
You expect Spring Hill stock to pay a $1.23 dividend one year from n.pdfYou expect Spring Hill stock to pay a $1.23 dividend one year from n.pdf
You expect Spring Hill stock to pay a $1.23 dividend one year from n.pdf
AMIOPTICPLUS2 vues
Writing Recursive FunctionsNo loops are permitted in any of the c.pdf par AMIOPTICPLUS
Writing Recursive FunctionsNo loops are permitted in any of the c.pdfWriting Recursive FunctionsNo loops are permitted in any of the c.pdf
Writing Recursive FunctionsNo loops are permitted in any of the c.pdf
AMIOPTICPLUS3 vues
You get a bunch of photos with certain information about them. With .pdf par AMIOPTICPLUS
You get a bunch of photos with certain information about them. With .pdfYou get a bunch of photos with certain information about them. With .pdf
You get a bunch of photos with certain information about them. With .pdf
AMIOPTICPLUS2 vues
You disproved your hypothesis. The pikas thyroxine (T3 and T4) horm.pdf par AMIOPTICPLUS
You disproved your hypothesis. The pikas thyroxine (T3 and T4) horm.pdfYou disproved your hypothesis. The pikas thyroxine (T3 and T4) horm.pdf
You disproved your hypothesis. The pikas thyroxine (T3 and T4) horm.pdf
AMIOPTICPLUS12 vues

Dernier

Gross Anatomy of the Liver par
Gross Anatomy of the LiverGross Anatomy of the Liver
Gross Anatomy of the Liverobaje godwin sunday
89 vues12 diapositives
Papal.pdf par
Papal.pdfPapal.pdf
Papal.pdfMariaKenney3
73 vues24 diapositives
ICS3211_lecture 09_2023.pdf par
ICS3211_lecture 09_2023.pdfICS3211_lecture 09_2023.pdf
ICS3211_lecture 09_2023.pdfVanessa Camilleri
147 vues10 diapositives
STRATEGIC MANAGEMENT MODULE 1_UNIT1 _UNIT2.pdf par
STRATEGIC MANAGEMENT MODULE 1_UNIT1 _UNIT2.pdfSTRATEGIC MANAGEMENT MODULE 1_UNIT1 _UNIT2.pdf
STRATEGIC MANAGEMENT MODULE 1_UNIT1 _UNIT2.pdfDr Vijay Vishwakarma
134 vues68 diapositives
unidad 3.pdf par
unidad 3.pdfunidad 3.pdf
unidad 3.pdfMarcosRodriguezUcedo
138 vues38 diapositives

Dernier(20)

UNIT NO 13 ORGANISMS AND POPULATION.pptx par Madhuri Bhande
UNIT NO 13 ORGANISMS AND POPULATION.pptxUNIT NO 13 ORGANISMS AND POPULATION.pptx
UNIT NO 13 ORGANISMS AND POPULATION.pptx
Madhuri Bhande43 vues
Interaction of microorganisms with vascular plants.pptx par MicrobiologyMicro
Interaction of microorganisms with vascular plants.pptxInteraction of microorganisms with vascular plants.pptx
Interaction of microorganisms with vascular plants.pptx
Education of marginalized and socially disadvantages segments.pptx par GarimaBhati5
Education of marginalized and socially disadvantages segments.pptxEducation of marginalized and socially disadvantages segments.pptx
Education of marginalized and socially disadvantages segments.pptx
GarimaBhati547 vues
Creative Restart 2023: Leonard Savage - The Permanent Brief: Unearthing unobv... par Taste
Creative Restart 2023: Leonard Savage - The Permanent Brief: Unearthing unobv...Creative Restart 2023: Leonard Savage - The Permanent Brief: Unearthing unobv...
Creative Restart 2023: Leonard Savage - The Permanent Brief: Unearthing unobv...
Taste62 vues
JQUERY.pdf par ArthyR3
JQUERY.pdfJQUERY.pdf
JQUERY.pdf
ArthyR3107 vues
EILO EXCURSION PROGRAMME 2023 par info33492
EILO EXCURSION PROGRAMME 2023EILO EXCURSION PROGRAMME 2023
EILO EXCURSION PROGRAMME 2023
info33492208 vues
NodeJS and ExpressJS.pdf par ArthyR3
NodeJS and ExpressJS.pdfNodeJS and ExpressJS.pdf
NodeJS and ExpressJS.pdf
ArthyR350 vues
Career Building in AI - Technologies, Trends and Opportunities par WebStackAcademy
Career Building in AI - Technologies, Trends and OpportunitiesCareer Building in AI - Technologies, Trends and Opportunities
Career Building in AI - Technologies, Trends and Opportunities
WebStackAcademy47 vues
Ask The Expert! Nonprofit Website Tools, Tips, and Technology.pdf par TechSoup
 Ask The Expert! Nonprofit Website Tools, Tips, and Technology.pdf Ask The Expert! Nonprofit Website Tools, Tips, and Technology.pdf
Ask The Expert! Nonprofit Website Tools, Tips, and Technology.pdf
TechSoup 62 vues

Yasmin is a mean-variance optimising investor with risk-aversion A =.pdf

  • 1. Yasmin is a mean-variance optimising investor with risk-aversion A = 2. She has 100 to invest. There are two stocks that Yasmin can choose for her investment portfolio. The first stock has an expected return of 14% with a standard deviation of 20%. The second stock has an expected return of 8% with a standard deviation of 10%. The returns on the two stocks have a correlation coefficient of = 0.75. (a) Suppose Yasmin can only invest in one of the two stocks. Should she choose stock 1 or stock 2?