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
Organisations involved in international trade and investment seek economic and political stability. For this reason it is prudent for those organisations to conduct a country risk

An entity's working capital financing policy is to finance working capital using short-termfinancing to fund all the fluctuating current assets as well as some of the permanent par

Q. Calculate DR's quick ratio? DR has the following balances under current assets and current liabilities: Current assets $ Current liabilities

Q. What do you mean by Acquistions - takeovers? Acquistions / takeovers: an essential feature of the merger through the absorption as well as consideration in the combination t

Question The variance of Stock A is .004, the variance of the market is .007 and the covariance between the two is .0026. What is the correlation coefficient?


Research in Motion (RIM), once known as the global leader in wireless innovation, has lost its darling status after the introduction of the Apple iPhone.  In 2011, RIM's stock pric

You have been provided with the following information on a fixed-fixed USD-GBP currency swap, thespot exchange rate between USD and GBP, and the USD and GBP yield curves:


Question : (a) Why OLS cannot be applied in the presence of simultaneous equation bias? b) i) Prepare a simultaneous equation model for the supply and demand of dentist in