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Q4. If DWC’s required return were 7.7%, the weight of the portfolio to be placed in U.S. Large Capitalization Equity is closest to:
A) 4.3%.
B) 5.4%.
C) 10.4%.
Q5. Consider a Capital Allocation Line (CAL) with a risk-free asset with a return of 4%. What is the expected return of the CAL portfolio that has the same risk as Corner Portfolio A?
A) 6.83%.
B) 6.44%.
C) 5.89%.
Q6. In the case of no short sales constrained optimization, the minimum variance frontier has corner portfolios formed when the weight of an asset class changes from:
A) zero to positive.
B) positive to zero.
C) zero to positive or positive to zero.
Q7. Based on the following information, compute the weight of international bonds and international equities respectively in an efficient portfolio with an expected return of 12.50%?
The following are the long-term capital market expectations:
|
|
Asset Class |
Expected
Return |
Exp. Std. Dev. |
Correlations |
|
1 |
2 |
3 |
4 |
5 |
|
1 |
US Equity |
12.00% |
16.00% |
1.00 |
|
|
|
|
|
2 |
US Bonds |
8.25% |
6.50% |
0.32 |
1.00 |
|
|
|
|
3 |
Intl Equities |
14.00% |
18.00% |
0.46 |
0.22 |
1.00 |
|
|
|
4 |
Intl Bonds |
9.25% |
12.25% |
0.23 |
0.56 |
0.32 |
1.00 |
|
|
5 |
Alt Inv |
11.50% |
21.00% |
0.25 |
0.11 |
0.08 |
0.06 |
1.00 |
The details of each corner portfolio are given below. The risk free rate is assumed to be equal to the T-bill rate of 3.00%. There is also a restriction on short sales.
|
Corner
Portfolio |
Expected
Return |
Exp. Std.
Dev. |
Sharpe
Ratio |
Asset Class Weights |
|
1 |
2 |
3 |
4 |
5 |
|
1 |
14.00% |
18.00% |
0.639 |
0.00% |
0.00% |
100.00% |
0.00% |
0.00% |
|
2 |
13.66% |
16.03% |
0.696 |
0.00% |
0.00% |
86.36% |
0.00% |
14.00% |
|
3 |
13.02% |
13.58% |
0.775 |
21.69% |
0.00% |
56.56% |
0.00% |
21.76% |
|
4 |
12.79% |
13.00% |
0.792 |
21.48% |
0.00% |
52.01% |
5.24% |
21.27% |
|
5 |
10.54% |
8.14% |
0.988 |
9.40% |
51.30% |
26.55% |
0.00% |
12.76% |
|
6 |
8.70% |
6.32% |
0.981 |
0.00% |
89.65% |
4.67% |
0.00% |
5.68% |
A) 3.75%, 52.00%.
B) 4.56%, 48.70%.
C) 6.12%, 46.29%. | 
发表于 2009-3-5 15:27
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