Scribd Logo
Upload

Welcome to Scribd!

  • Ejercicios Gestión Cartera Modelos Índices Resueltos

    Uploaded by

    coeodos2699
    9 views10 pages
    The document discusses portfolio optimization and risk. It includes questions about the percentage of nonsystematic risk for a fund with a correlation of 0.7 to an index. It also asks about determining the exact makeup of an optimal portfolio for an investor with a risk aversion coefficient of 2.8.

    Original Description:

    Ejercicios Gestión Cartera sobre modelos Índices resueltos. CFA Problems

    Original Title

    Ejercicios Gestión Cartera modelos Índices resueltos

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document discusses portfolio optimization and risk. It includes questions about the percentage of nonsystematic risk for a fund with a correlation of 0.7 to an index. It also asks about determining the exact makeup of an optimal portfolio for an investor with a risk aversion coefficient of 2.8.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    9 views10 pages

    Ejercicios Gestión Cartera Modelos Índices Resueltos

    Uploaded by

    coeodos2699
    The document discusses portfolio optimization and risk. It includes questions about the percentage of nonsystematic risk for a fund with a correlation of 0.7 to an index. It also asks about determining the exact makeup of an optimal portfolio for an investor with a risk aversion coefficient of 2.8.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 10

    04/12/2014

    Ejercicios

    Tema 3. Modelos índice

    1
    04/12/2014

    2. Assume the correlation coefficient between Baker Fund


    and the Wood Stock Index is .70. What percentage of
    Baker Fund’s total risk is specific (i.e., nonsystematic)?

    2
    04/12/2014

    3
    04/12/2014

    4
    04/12/2014

    5
    04/12/2014

    6
    04/12/2014

    7
    04/12/2014

    8
    04/12/2014

    d. What should be the exact makeup of the complete portfolio for an


    inversor with a coefficient of risk aversion of 2.8?

    Treynor-Black Allocation
    CAL
    E(r) CML

    P A

    Rf

    d. What should be the exact makeup of the complete portfolio for an


    inversor with a coefficient of risk aversion of 2.8?

    9
    04/12/2014

    d. What should be the exact makeup of the complete portfolio for an


    inversor with a coefficient of risk aversion of 2.8?

    10

    You might also like