Assignment Task:
Task:
Financial Metrics for Decision Making– Final Exam
Question 1
4.05%
0.037
Mean of Excess Returns= 2.59%
Standard Deviation of excess returns = 0.037
Sharpe ratio = mean of excess returns/standard deviation of excess returns
= 2.59/0.037
= 0.70
For part (d) You are subject to these conditions:
• short-selling is not allowed, and
• the portfolio weight on Asset B cannot exceed 50%. (d) [10 marks]
Find the portfolio weights on the risky assets that maximize the Sharpe ratio of the portfolio.
For part (e), you are subject to these conditions:
• short-selling is allowed, and
• the portfolio weight on Asset B cannot exceed 50%. (e) [10 marks]
Find the portfolio weights on the risky assets that set the mean portfolio returns to be 11.3%
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