ExamTortoise
12-04-2006, 09:54 AM
I'm sure you all have the exam handy.
Using the formula for optimal risky portfolios I get:
5b: 43% A and 57% B which gives you a portfolio with zero variance w/o shortselling.
5c: -300% of A and +400% B also gives you the optimal porfolio with zero variance (but obviously using short-sellin').
The CAS model solution is kind of herky-jerky allowing shortselling in 5b and disallowing it in B. No mention of alternate solutions either. What up with that?
Anybody get what I get?
Using the formula for optimal risky portfolios I get:
5b: 43% A and 57% B which gives you a portfolio with zero variance w/o shortselling.
5c: -300% of A and +400% B also gives you the optimal porfolio with zero variance (but obviously using short-sellin').
The CAS model solution is kind of herky-jerky allowing shortselling in 5b and disallowing it in B. No mention of alternate solutions either. What up with that?
Anybody get what I get?