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You wish to invest in two hedge funds: A and B. The data on returns of two funds are shown in the table below:
Expected return
A. 15%
B 10%
Standard deviation
A 16%
B. 11%
Beta
A. 1.5
B. 0.8
Correlation coefficient 0.5
a. Construct the minimum variance efficient portfolio of these two funds and find its standard deviation and expected return.
b. What percentage of your wealth should you invest in each of these two funds to earn 20% expected return on your portfolio?
c. What do these weights mean?
d. What is the standard deviation of the portfolio in part (b) above?
e. What is the beta of your portfolio in part(a)?
f. What is the beta of your portfolio in part(b)?
Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..
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