Consider the following table of annual rates of return, in percentage, for four common risky assets over the time period 2010 to 2019 • Berkshire Hathaway (ticker: BRK/A) • S&P 500 Index (ticker: SPX) • NASDAQ 100 Index (ticker: NDX) • Russell 2000 Index (ticker: RUT) YEAR 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 BRK/A 21.4 -4.7 16.8 32.7 27 -12.5 23.4 21.9 2.8 11 SPX 15.1 2.1 16 32.4 13.7 1.4 12 21.8 -4.4 31.5 NDX 19.22 2.7 16.82 34.99 17.94 8.43 5.89 31.52 -1.04 37.96 RUT 26.85 -4.18 16.35 38.82 4.89 -4.41 21.31 14.65 -11.01 25.52 Now assume there is a risk-free asset available and the annual risk-free rate is 2%. Using mean-variance portfolio theory, determine the 4 portfolio weightings and the portfolio variance for the unique fund F defined by the tangent portfolio and the one-fund theorem.
Consider the following table of annual rates of return, in percentage, for four common risky assets over the time period 2010 to 2019 • Berkshire Hathaway (ticker: BRK/A) • S&P 500 Index (ticker: SPX) • NASDAQ 100 Index (ticker: NDX) • Russell 2000 Index (ticker: RUT) YEAR 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 BRK/A 21.4 -4.7 16.8 32.7 27 -12.5 23.4 21.9 2.8 11 SPX 15.1 2.1 16 32.4 13.7 1.4 12 21.8 -4.4 31.5 NDX 19.22 2.7 16.82 34.99 17.94 8.43 5.89 31.52 -1.04 37.96 RUT 26.85 -4.18 16.35 38.82 4.89 -4.41 21.31 14.65 -11.01 25.52 Now assume there is a risk-free asset available and the annual risk-free rate is 2%. Using mean-variance portfolio theory, determine the 4 portfolio weightings and the portfolio variance for the unique fund F defined by the tangent portfolio and the one-fund theorem.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
![Please enter your solutions in the answer boxes for Questions 6 to 10.
What is the portfolio weight for BRK/A in the unique fund F?
Please express your numerical answer in decimal (not percentage) form and
round your answer to two decimal places.
What is the portfolio weight for SPX in the unique fund F?
What is the portfolio weight for NDX in the unique fund F?
What is the portfolio weight for RUT in the unique fund F?
What is the portfolio variance of the unique fund F?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fd3b0b014-b4d7-4c8c-8b36-484f78a5b3c5%2Ff0ca3b8c-01e0-47ac-8a99-6901dc21e3c9%2Fxmbia6a_processed.png&w=3840&q=75)
Transcribed Image Text:Please enter your solutions in the answer boxes for Questions 6 to 10.
What is the portfolio weight for BRK/A in the unique fund F?
Please express your numerical answer in decimal (not percentage) form and
round your answer to two decimal places.
What is the portfolio weight for SPX in the unique fund F?
What is the portfolio weight for NDX in the unique fund F?
What is the portfolio weight for RUT in the unique fund F?
What is the portfolio variance of the unique fund F?
![Consider the following table of annual rates of return, in percentage, for four
common risky assets over the time period 2010 to 2019
• Berkshire Hathaway (ticker: BRK/A)
• S&P 500 Index (ticker: SPX)
• NASDAQ 100 Index (ticker: NDX)
• Russell 2000 Index (ticker: RUT)
YEAR
BRK/A
SPX
NDX
RUT
2010
21.4
15.1
19.22
26.85
2011
-4.7
2.1
2.7
-4.18
2012
16.8
16
16.82
16.35
2013
32.7
32.4
34.99
38.82
2014
27
13.7
17.94
4.89
2015
-12.5
1.4
8.43
-4.41
2016
23.4
12
5.89
21.31
2017
21.9
21.8
31.52
14.65
2018
2.8
-4.4
-1.04
-11.01
2019
11
31.5
37.96
25.52
Now assume there is a risk-free asset available and the annual risk-free rate is
2%. Using mean-variance portfolio theory, determine the 4 portfolio
weightings and the portfolio variance for the unique fund F defined by the
tangent portfolio and the one-fund theorem.
Note that the portfolio weights sum to 1 and short selling (negative weights)
are permissible.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fd3b0b014-b4d7-4c8c-8b36-484f78a5b3c5%2Ff0ca3b8c-01e0-47ac-8a99-6901dc21e3c9%2Fhp28gxb_processed.png&w=3840&q=75)
Transcribed Image Text:Consider the following table of annual rates of return, in percentage, for four
common risky assets over the time period 2010 to 2019
• Berkshire Hathaway (ticker: BRK/A)
• S&P 500 Index (ticker: SPX)
• NASDAQ 100 Index (ticker: NDX)
• Russell 2000 Index (ticker: RUT)
YEAR
BRK/A
SPX
NDX
RUT
2010
21.4
15.1
19.22
26.85
2011
-4.7
2.1
2.7
-4.18
2012
16.8
16
16.82
16.35
2013
32.7
32.4
34.99
38.82
2014
27
13.7
17.94
4.89
2015
-12.5
1.4
8.43
-4.41
2016
23.4
12
5.89
21.31
2017
21.9
21.8
31.52
14.65
2018
2.8
-4.4
-1.04
-11.01
2019
11
31.5
37.96
25.52
Now assume there is a risk-free asset available and the annual risk-free rate is
2%. Using mean-variance portfolio theory, determine the 4 portfolio
weightings and the portfolio variance for the unique fund F defined by the
tangent portfolio and the one-fund theorem.
Note that the portfolio weights sum to 1 and short selling (negative weights)
are permissible.
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