Ask Question, Ask an Expert

+1-415-315-9853

info@mywordsolution.com

Ask Portfolio Management Expert

problem 1)
Derive the pricing formula for the expected excess return of a risky stock and the riskfree stock in the traditional consumption-CAPM assuming that the level of habit Ht depends on the time t-1 agent’s and the society consumption levels (Ct-1 and ‾Ct-1), that is:
                                                 Ht = Cλ1t-1 C‾λ2t-1
were λ1 and λ2 are elasticities of Ht with respect to Ct-1 and Ct-1 (constant parameters).
problem2)
In a market where the CAPM holds there are five risky assets with the following attributes per year.
Asset                                                     1       2        3      4       5
Expected return                                       5%    3%    -1%    6%     0%
Market capitalisation (in millions of $)           2.2    3        4.6    1.2     5

386_market portfolio.jpg


a) find out the expected return on the market portfolio and the market risk assuming that the portfolio weights are equal.
b) find out the expected return on the market portfolio and the market risk assuming that the portfolio weights are proportional to the asset’s market capitalisation.
c) find out the expected return on the market portfolio and the market risk using mean-variance model.
d) Which of the three strategies is the best.
e) Do 1, 3 and 4 assuming that the risk-free rate is r = 1% with a weight wf = 0.2.

Portfolio Management, Finance

  • Category:- Portfolio Management
  • Reference No.:- M9358

Have any Question? 


Related Questions in Portfolio Management

Suppose that there are two types of people in the country

Suppose that there are two types of people in the country of Dipolia: unskilled people who value only food and skilled, lazy people who value only alcoholic drinks. The government of Dipolia is considering moving from a ...

1in the context of prospect theory state the four-fold

1. In the context of prospect theory, state the four-fold pattern of risk attitudes and how it arises. Be specific. 2. A problem that plagues many investors is failure to diversify. (a) What is the name given to a failur ...

Portfolio project - advanced managerial financepurpose to

Portfolio Project - Advanced Managerial Finance Purpose: To learn and practice the skills associated with the development of a corporate financial portfolio. Scope: The student will choose a company and upon approval of ...

The portfolio projectfor this portfolio project option you

The Portfolio Project For this Portfolio Project option, you will choose and build a training plan. Identify a common training problem that organizations struggle with and the best way to address this problem. Examples i ...

Assignment portfolio managementwrite a five to seven page

Assignment: Portfolio Management Write a five to seven page paper in which you: 1. Analyze the relationship between risk and rate of return, and suggest how you would formulate a portfolio that will minimize risk and max ...

Getty image and agile portfolio managementread the case

Getty Image and Agile Portfolio Management Read the case study titled Agile Portfolio Management: Getty Images Gains Visibility and Alignment with Kanban Portfolios. Write a four to five page paper in which you: 1. Expla ...

The data set required for the completion of the applied

The data set required for the completion of the Applied Problems and the Portfolio project can be obtained from the course website. The EXCEL file contains sheets labelled: DAILY WEEKLY MONTHLY Presenting your solutions ...

Homework1 how to be a portfolio managerdo basic research

Homework (1) How to be a portfolio manager: Do basic research (Google?) on how you would become a licensed portfolio manager in a developed market (your choice of US, Hong Kong, Japan, Taiwan, etc). In half a page, descr ...

From the text web site link to the st louis fed site for

From the text Web site, link to the St. Louis Fed site for data on the high-yield spread and on the unemployment rate. a. Graph unemployment on the horizontal axis and the spread on the vertical axis, with a point for ea ...

Instructions for tradestep 2 buy securitiesthis section is

Instructions for Trade Step 2 Buy Securities This section is to make sure you are able to understand a brokerage statement and track returns. You generate such a statement using information from the portfolio you create ...

  • 4,153,160 Questions Asked
  • 13,132 Experts
  • 2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

A cola-dispensing machine is set to dispense 9 ounces of

A cola-dispensing machine is set to dispense 9 ounces of cola per cup, with a standard deviation of 1.0 ounce. The manuf

What is marketingbullwhat is marketing think back to your

What is Marketing? • "What is marketing"? Think back to your impressions before you started this class versus how you

Question -your client david smith runs a small it

QUESTION - Your client, David Smith runs a small IT consulting business specialising in computer software and techno

Inspection of a random sample of 22 aircraft showed that 15

Inspection of a random sample of 22 aircraft showed that 15 needed repairs to fix a wiring problem that might compromise

Effective hrmquestionhow can an effective hrm system help

Effective HRM Question How can an effective HRM system help facilitate the achievement of an organization's strate