We consider a market with 1 riskfree asset and N risky assets. The following tables show theinvestment goal of three different investors:Investor AInvestor BInvestor CYou are given that● Expected return μp ≥ 0.2Standard deviation of return op ≤ 0.2● Expected return μp ≥ 0.15● Standard deviation of return op ≤ 0.12Expected return µp ≥ 0.1● Standard deviation of return op ≤ 0.15●Investment goals●Exactly 1 of the above investment goals is infeasible.The return rate of riskfree asset is rf = 0.05.Assuming that the tangency portfolio exists and is efficient(b) An investor is seeking for the minimum variance portfolio with expected return up =0.17. He chooses a portfolio consisting of these assets (riskfree and risky assets). It isfound that the expected return and standard deviation of return of this portfolio areMp = 0.17 and op = 0.2. Determine if it is the desired portfolio.

To determine if the portfolio chosen by the investor is the desired portfolio, we need to check if…

Answered: We consider a market with 1 riskfree…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

See similar textbooks

Similar questions

Risk taking is an important part of investing. In order to make suitable investment decisions on behalf of their customers, portfolio managers give a questionnaire to new customers to measure their desire to take financial risks. The scores on the questionnaire are approximately normally distributed with a mean of 49 and a standard deviation of 16 . The customers with scores in the bottom 5% are described as "risk averse." What is the questionnaire score that separates customers who are considered risk averse from those who are not? Carry your intermediate computations to at least four decimal places. Round your answer to one decimal place.
Risk taking is an important part of investing. In order to make suitable investment decisions on behalf of their customers, portfolio managers give a questionnaire to new customers to measure their desire to take financial risks. The scores on the questionnaire are approximately normally distributed with a mean of 51 and a standard deviation of 15 . The customers with scores in the bottom 10% are described as "risk averse." What is the questionnaire score that separates customers who are considered risk averse from those who are not? Carry your intermediate computations to at least four decimal places. Round your answer to one decimal place.
Risk taking is an important part of investing. In order to make suitable investment decisions on behalf of their customers, portfolio managers give a questionnaire to new customers to measure their desire to take financial risks. The scores on the questionnaire are approximately normally distributed with a mean of 50.5 and a standard deviation of 16. The customers with scores in the bottom 5% are described as "risk averse. What is the questionnaire score that separates customers who are considered risk averse from those who ar not? Carry your intermediate computations to at least four decimal places. Round your answer to one decimal place. U Continue X S Submit Terms of Use | Privacy Center
Example 10: P and Q two securities, with expected returns of 15% and 24% respectively, and standard deviation of 35% and 52% respectively. Calculate the standard deviation of a portfolio weighted equally between the two securities if their correlation is -0.9.
A company manager plans to purchase a machine. The company requires a high quality machine. The manager is currently considering two companies that supply this machine. The machine from company A can produce approximately1050 units in average per day, but the standard deviation of this machine is about 250 units per day; while the machine from company B can produce approximately 900 units in average per day, but the standard deviation of this machine is about 100 units per day. Both of these two companies guarantee at least 10 years life. In addition, both prices are similar although machine A is a little bit higher. Price is not the main concern for the manager because both prices are under their budget. However, the manager cannot decide which machine should be purchased, because he is not sure what test he needs to conduct. Can you recommend the manager what test the manager should conduct? Should the manager conduct the test about the difference between two population means or the…
Risk taking is an important part of investing. In order to make suitable investment decisions on behalf of their customers, portfolio managers give a questionnaire to new customers to measure their desire to take financial risks. The scores on the questionnaire are approximately normally distributed with a mean of 50 and a standard deviation of 14. The customers with scores in the bottom 15% are described as "risk averse." What is the questionnaire score that separates customers who are considered risk averse from those who are not? Carry your intermediate computations to at least four decimal places. Round your answer to one decimal place.
A fitness company is building a 20-story high-rise. Architects building the high-rise know that women working for the company have weights that are normally distributed with a mean of 143 lb and a standard deviation of 29 lb, and men working for the company have weights that are normally distributed with a mean of 178 lb and a standard deviation or 32 lb. You need to design an elevator that will safely carry 18 people. Assuming a worst case scenario of 18 male passengers, find the maximum total allowable weight if we want a 0.995 probability that this maximum will not be exceeded when 18 males are randomly selected.maximum weight = -lb Round to the nearest pound.Answers obtained using exact z-scores or z-scores rounded to 2 decimal places are accepted The amounts of nicotine in a certain brand of cigarette are normally distributed with a mean of 0.956 g and a standard deviation of 0.302 g. The company that produces these cigarettes claims that it has now reduced the amount of…
MARGI sells different types of wine. Customers place orders to the most popular "Summer Wine" at a relatively constant rate. The store buys this wine from WSCO that used to require lead-time of 1.5 weeks. Recently WSCO informed MARGI that its lead-time is increasing by K weeks. MARGI who runs an EOQ policy with cycle service level, realized that because of this increase, its current lead-time standard deviation of the demand is going to double. 1. What would the lead-time mean demand be? Twice as large as the current mean demand. b. Stay the same. c. Larger but more than two times. d. Not enough information to answer. a. 2. Calculate the value of 'K', and show your work.
Newborn babies: A study conducted by the Center for Population Economics at the University of Chicago studied the birth weights of 607 babies born in New York. The mean weight was 3310 grams with a standard deviation of 910 grams. Assume that birth weight data are approximately bell-shaped. Part 1 of 3 (a) Estimate the number of newborns whose weight was less than 4220 grams. Approximately of the 607 newborns weighed less than 4220 grams. Part 2 of 3 (b) Estimate the number of newborns whose weight was greater than 1490 grams. Approximately of the 607 newborns weighed more than 1490 grams. Part 3 of 3 (c) Estimate the number of newborns whose weight was between 3310 and 5130 grams. Approximately of the 607 newborns weighed between 3310 and 5130 grams. Check Answer Save For Later Submit Assignme
21. in a regression model if the error distribution is normally distributed then A. None B. Residual plot will give a line with 45angles with the X-axis. C. Normal probability plot will give a line with slope 1. D. Normal probability plot will give a line with 15° angles with the X-axis.
Risk taking is an important part of investing. In order to make suitable investment decisions on behalf of their customers, portfolio managers give a questionnaire to new customers to measure their desire to take financial risks. The scores on the questionnaire are approximately normally distributed with a mean of 49 and a standard deviation of 16 . The customers with scores in the bottom 15% are described as "risk averse." What is the questionnaire score that separates customers who are considered risk averse from those who are not? Carry your intermediate computations to at least four decimal places. Round your answer to one decimal place.
The items have a standard cost of $81/unit. The monthly demand for items is normally distributed with a mean of 220 and a standard deviation of 40. The annual holding rate is 23% and the ordering cost is $200/order. it takes 3 weeks to receive the ordered items from the supplier. (4 weeks in a month, 12 months in a year, 48 weeks per year) You have been ordering a quantity of 237 units every time the inventory level fall under 195 units. What is the average cycle stock considering your policy?

Recommended textbooks for you

MATLAB: An Introduction with Applications

Statistics

ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc

Probability and Statistics for Engineering and th…

Statistics

ISBN:

9781305251809

Author:

Jay L. Devore

Publisher:

Cengage Learning

Statistics for The Behavioral Sciences (MindTap C…

Statistics

ISBN:

9781305504912

Author:

Frederick J Gravetter, Larry B. Wallnau

Publisher:

Cengage Learning

MATLAB: An Introduction with Applications

Statistics

ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc

Probability and Statistics for Engineering and th…

Statistics

ISBN:

9781305251809

Author:

Jay L. Devore

Publisher:

Cengage Learning

Statistics for The Behavioral Sciences (MindTap C…

Statistics

ISBN:

9781305504912

Author:

Frederick J Gravetter, Larry B. Wallnau

Publisher:

Cengage Learning

Elementary Statistics: Picturing the World (7th E…

Statistics

ISBN:

9780134683416

Author:

Ron Larson, Betsy Farber

Publisher:

PEARSON

The Basic Practice of Statistics

Statistics

ISBN:

9781319042578

Author:

David S. Moore, William I. Notz, Michael A. Fligner

Publisher:

W. H. Freeman

Introduction to the Practice of Statistics

Statistics

ISBN:

9781319013387

Author:

David S. Moore, George P. McCabe, Bruce A. Craig

Publisher:

W. H. Freeman

SEE MORE TEXTBOOKS