Q8. Based on the following information, compute the weight of US bonds in an efficient portfolio with an expected return of 13.50%?
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.
|
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%.
B) 6.25%.
C) 0.00%.
[此贴子已经被作者于2009-3-5 15:34:46编辑过] | 
发表于 2009-3-5 15:30
| 
