Assuming risk free rate to be 2% p.a while market return is expected to be 8% return with a Standard Deviation of 10%, a
Posted: Thu Dec 23, 2021 8:28 am
Assuming risk free rate to be 2% p.a while market return is
expected to be 8% return with a Standard Deviation of 10%, answer
the following two questions using Markowitz Model of lending and
borrowing at risk free rate
Questions: (15 MARKS)
a) River Park fund aims to earn a 12% Return on their Portfolio
comprising of equities tracking the Dow Jones and Risk free
Securities. To achieve this goal, how much risk will they have to
assume? Show the risk return combination for the fund with the
weights
b) AIG can take a maximum portfolio risk of 5%. How much return
can they expect with this risk appetite from a portfolio comprising
of risky stocks and Risk free asset. Show the risk return
combination for the fund with the weights
expected to be 8% return with a Standard Deviation of 10%, answer
the following two questions using Markowitz Model of lending and
borrowing at risk free rate
Questions: (15 MARKS)
a) River Park fund aims to earn a 12% Return on their Portfolio
comprising of equities tracking the Dow Jones and Risk free
Securities. To achieve this goal, how much risk will they have to
assume? Show the risk return combination for the fund with the
weights
b) AIG can take a maximum portfolio risk of 5%. How much return
can they expect with this risk appetite from a portfolio comprising
of risky stocks and Risk free asset. Show the risk return
combination for the fund with the weights