Determine the expost returns, Cost Accounting

Calculate the skewness and kurtosis statistics for your assignment portfolio. How do these reconcile with the assumptions behind Modern Portfolio Theory?

Demonstrate analytically the proportion of your portfolio that you should hold in each of these four sub-indices in order to achieve an expected volatility of 20% per annum with maximum returns. Assume that you have $100; 000 to invest, according to these weights. Use the prices of these indices at 31 December 2006, to determine the dollar amount to invest in each sub-index.

Determine, using either MATLAB or Excel, the optimal weights and expected return if you can include a risk-free asset in your portfolio, returning 3% per annum. Determine a linear approximation for δwi / δrf where wi is the optimal weight in risky asset i.

If the risk-free rate of return suddenly changes to 4% per annum, what trades would you make in order to adjust your portfolio so that you continue to maximise your expected return subject to vol=20% per annum?

Determine the ex-post returns that your portfolio (of the original four assets) earned over the period 31 December 2006 - 31 January 2007. How does the risk- adjusted performance of your portfolio compare with the expected risk adjusted performance?

Suggest techniques to improve the risk-adjusted performance of your portfolio.

Posted Date: 3/7/2013 3:07:47 AM | Location : United States







Related Discussions:- Determine the expost returns, Assignment Help, Ask Question on Determine the expost returns, Get Answer, Expert's Help, Determine the expost returns Discussions

Write discussion on Determine the expost returns
Your posts are moderated
Related Questions
Planned                            Actual                Production                                                         92,000 units                     87,000 units

Question: At the beginning of the year, Asquith Company Ltd initiated a quality improvement program. The program was successful in reducing scrap and rework costs. To help asse

Most corporations pay quarterly dividends on their common stock rather than annual dividends. Barring any unusual circumstances during the year, the board raises, lowers, or mainta

XYZ Company is a family-owned bicycle manufacturing company located in Stow, Ohio. Until recently,it had maintained slow but steady growth in producing and marketing its only prod

Absorption Costing The process described in this section by that net overheads are absorbed into production naturally enough is identified as absorption costing.  The absorpti


1) Presented below is a list of terms, followed by definitions or descriptions of those terms. a. Cost pool b. Actual cost system c. Cost driver d. Manufacturing diver

General Motors has to raise new capital in one of the following three ways. Using the income tax rate of 32%, find the after-tax cost of new capital in each case. (A) Sell commo

Multiple Products, Selling Costs, and Margin Management Selling charge are oftentimes variable. For instance, a salesperson can be paid a designated percentage of entire sales

Cost Estimation  Cost estimation may be defined with 'a study that attempts to predict among costs and the activity level or cost driver that causes those costs. In practical