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69
a) p=0.5
E(Rp)=0.3*0.12+0.7*0.25=0.211
Variance V=0.09*0.04+0.49*0.0225+2*0.5*0.3*0.7*0.02*0.15=0.015255
b) p=0.2
Variance V=0.09*0.04+0.49*0.0225+2*0.2*0.3*0.7*0.02*0.15=0.014877
c) p=0
Variance V=0.09*0.04+0.49*0.0225+2*0*0.3*0.7*0.02*0.15=0.014625
7.71
w1=0.6 ;
w2=0.4 ;
p=0.4;
7.72
Expected value=0.3*0.09+0.7*0.13=0.118
Variance=0.09*0.0225+0.49*0.0441+2*0.3*0.7*0.4*0.15*0.21=0.028926
7.73
0,00815 0,00862
Expected Returns E(R) 0,01387 6 4
Weights 0,2 0,3 0,5
0,00953
Expected value => 3
0,00122
Variance => 3
0,03497
standard deviation => 4
b)
0,009
expected value E 392
0,001
Variance V 426
0,037
standard deviation St.d 765
c)
expected value
variance
standard deviation
d) Gambler will choose the last portfolio because of it has the highest expected value.
e) because of smallest varienace Risk-averse investori will choos first.
7.74
0,00885 - - -
Expected Returns 1 0,00141 0,00461 0,00143
Weights 0,25 0,25 0,25 0,25
0,00035
expected value 2
0,00176
variance 3
0,04198
standard deviation 4
c)
0,00134
expected value 3
0,00217
variance 2
0,04660
standard deviation 9
7.75
VARIANCE-COVARIANCE
MATRIX DLEKG DSCT ESLT FTIN
0,00654
DLEKG 8
0,00278 0,00315
DSCT 6 5
0,00180 0,00091 0,00277
ESLT 6 6 2
0,00209 0,00163 0,00097 0,00249
FTIN 1 5 5 8
0,00463
expected value 8
0,00187
variance 2
0,04326
standard deviation 4
b)
0,00611
expected value 5
0,00161
variance 5
0,04018
standard deviation 8
c)
0,00179
expected value 4
0,00309
variance 3
0,05561
standard deviation 1
d) second one is better here also, in each case : variance and value.
7.76
VARIANCE-COVARIANCE
MATRIX GZT HARL ICL ILCO
0,00278
GZT 5
0,00148 0,00505
HARL 3 2
0,00127 0,00078 0,00512
ICL 9 5 4
0,00176 0,00233 0,00516 0,00881
ILCO 7 4 8 9
-
expected value 0,00761
0,00270
variance 5
0,05201
standard deviation 3
b)
c)
7.77
0,01771
expected value 3
variance 0,00695
0,08336
standard deviation 7
b)
0,01005
expected value 2
0,00391
variance 4
0,06255
standard deviation 9
c)
0,02552
expected value 7
0,01231
variance 1
0,11095
standard deviation 7
7.78
VARIANCE-COVARIANCE
MATRIX MLSR PZOL MZTF NICE
0,00353
MLSR 5
0,00125 0,00278
PZOL 8 6
0,00094 0,00211
MZTF 0,0006 8 6
0,00100 0,00033 0,00350
NICE 8 0,00057 7 3
0,00859 0,00033 0,00699
Expected Returns 5 6 8 0,01295
b)
0,00735
expected value 7
0,00157
variance 4
standard deviation 0,03967
c)
0,00820
expected value 6
0,00120
variance 1
standard deviation 0,03465
7.85
VARIANCE-COVARIANCE
MATRIX CNR ENB L MFC
0,00202
CNR 9
0,00028 0,00221
ENB 7 1
0,00071 0,00045 0,00327
L 3 1 5
0,00098 - 0,00071
MFC 6 0,00018 8 0,00398
0,01193
expected value 2
0,00122
variance 5
0,03499
standard deviation 8
b)
0,01348
expected value 7
0,00106
variance 5
0,03263
standard deviation 9
c)
0,01421
expected value 8
0,00138
variance 6
0,03723
standard deviation 6
7.87
0,00651
expected value 1
0,00076
variance 7
standard deviation 0,02769
b)
0,00959
expected value 3
0,00091
variance 6
0,03026
standard deviation 9
c)
0,00466
expected value 3
0,00137
variance 3
0,03705
standard deviation 8
7.88
VARIANCE-COVARIANCE
MATRIX AEM CM CTC.A RY
0,01712
AEM 8
CM - 0,00148
0,00068 6
- 0,00057 0,00239
CTC.A 0,00128 6 1
- 0,00115 0,00062 0,00161
RY 0,00124 6 6 3
0,00768
expected value 8
0,00130
variance 9
0,03618
standard deviation 2
b)
0,01019
expected value 6
0,00116
variance 2
0,03409
standard deviation 2
c)
7.133