Welcome to Legit Writing

LegitWriting LegitWriting

Quantitative Portfolio Management Course – ESCP EUROPE, Année universitaire 2014/15

ESCP – EUROPE Scbool ofManagement
ES C P E. JURCZENKO Course
E U R 0 P E
Année universitaire 2014-201 5
Exercise 1:
Consider a perfect market with two risky assets characterized by the following statistical
parameters:
E1= 0.1 (712 = 0.04
and
E2 = 0.2 022 = 0.16
1°) Determine the co-ordinates in the standard deviation/ mean plane of the risky portfolios with
W1 = 0; 0.2; 0.4; 0.6; 0.8; l in the four following correlation cases:
3) 101,2 = +1
b) 101,2 = 0
C) 101,2 = ‘0-5
d) 101,2 = ‘1
2°) Determine the minimum variance portfolio composition and its co-ordinates in the standard
deviation/ mean plane in the four previous correlation cases.
3°) Represent graphically the feasible sets in the mean-standard deviation plane.
Exercise 2:
1°) Consider a perfect market with two risky stocks, characterized by the following statistical
parameters:
E1 = 0.05 of = 0.01
and 2
E2 =0.15 02 =0.l6
Knowing that the correlation coefficient between the two risky assets is equal to ,01,2 = -0.5
a) Determine the co-ordinates in the standard deviation/ mean plane of the risky portfolios with
w1 = 0; 0.25; 0.5; 0.75; 1.
b) Determine the minimum variance portfolio composition and its co-ordinates in standard
deviation/ mean plane. What is the covariance between the equally weighted portfolio and the
minimum variance portfolio? What do your remark.

PLACE THIS ORDER OR A SIMILAR ORDER WITH US TODAY AND GET AN AMAZING DISCOUNT 🙂

Are you interested in this answer? Please click on the order button now to have your task completed by professional writers. Your submission will be unique and customized, so that it is totally plagiarism-free.