Investors short sell, Financial Econometrics

Pythagoras Jones has just inherited $1,000,000 and wishes to invest this sum in the ?ve funds given below.

Fund     Name                                Code               Return                Risk
P1    Aussie Growth Limits              (AG)                   .065               .035
P2    Wealthy People Leverage     (WPL)                   .080                .025
P3    Christmas Stocking Revenues (CSR)                .105                 . 030
P4    Best Haven Protection         (BHP)                    .115                 .040
P5    Cash Bene?t Assets             (CBA)                  .135                  .050

Funds P1, P3 have a negative correlation coe?cient -0.3 and funds P2, P5 a positive correlation cofficient +0.6. All other pairs of funds are uncorrelated. There are no restrictions on short selling and Pythagoras has a risk aversion parameter claculated to be t = 0.005 units.

1. Explain which investors short sell in this market and which funds they short sell. Are there any funds which no-one will short sell?

Posted Date: 3/21/2013 5:54:57 AM | Location : United States







Related Discussions:- Investors short sell, Assignment Help, Ask Question on Investors short sell, Get Answer, Expert's Help, Investors short sell Discussions

Write discussion on Investors short sell
Your posts are moderated
Related Questions
Question I: (50 points) 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 leve

Question 1 Suppose that you have 150 observations on production (yt) and investment (it), and you have estimated the following ADL(3,2) model: (1 – 0.5L – 0.1L2 – 0.05L3)yt = 0.7

A new capital investment that will cost $2.5 million and will generate perpetual net cash flows of $400,000 a year. Investors could expect to earn 8 percent elsewhere while taking

Question Your portfolio has a beta of 1.18. The portfolio consists of 15% U.S. Treasury bills, 30% in stock A, and 55% in stock B. Stock A has a risk-level equivalent to that o

a debit is used to record

Four European vanilla Call options ()iC· on an underlier with no interim cash flows, have identical maturity T. Their strike prices iK are such that 1234KKKK A trader buys ()1CK an

Adding a Riskless Cash Fund: Assume now that a riskless cash fund P0 is also available to invest in. The risk free rate is 0.05 for both lending & borrowing. Obtain Pythagoras's ne

During and economic downturn, we can acquire another company by purchasing its stock for $6 billion. The company is earning $700 million a year, which is available for dividends, a

Differences in working capital for different industries   Manufacturing Retail Service Inventories Hig

what economic factors affect current account balances