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Q11. Based on the following information, which asset class is the most significant 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%. Using margin is not allowed.
|
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) Alternative investments with a weight of 20.17%.
B) International equity with a weight of 48.70%.
C) International equity with a weight of 45.51%.
[此贴子已经被作者于2009-3-5 15:53:04编辑过] | 
发表于 2009-3-5 15:48
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