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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.
Margin of safety Measures the sensitivity of budgeted sales volume compared with break-even sales volume. The difference between level of sales activity achieved and level of s
WORKED EXAMPLES OF EXPECTED CASH COLLECTIONS PATTERNS
types of operating costing
Calculate Remuneration of Employee of an Organisation Based on the data underneath that you are necessary to calculate the remuneration of all employee like determined with ea
The following information has been prepared for XYZ Ltd by their assistant accountant. The risk free rate of interest on government securities in 2008 is 7.3% Required:
Absorption Costing, Marginal Cost and Marginal Costing Absorption costing is most often utilized for routine profit reporting and must be utilized for financial accounting rea
what is scope of cost accounting
answers to figure 5 exercise 18.10
Assume that you are the purchaser of the building at the end of the construction period, and you have paid the developer an amount which gives you a 7% annual return on net revenue
Distinguish between, (i) short-run variable costs & long-run variable costs, and give an example of each one; (ii) the marginal cost & the average cost of production
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