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  • RF 7% RM 15% Var M 22% A 4.00 Utility 0.7 0.126 0.154 Utility 0.078568 0.413223 RC - .5 (A) (Sigmac 2)

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    Kshitij Sharma
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    This document discusses portfolio optimization using expected returns, variances, and weights. It provides values for expected market return (Rm), variance of the market (Var m), risk-free rate (Rf), and investment amount (A). It then calculates the expected return of the portfolio (E(Rc)), variance of the portfolio returns (Sigmac), and resulting utility of the portfolio based on these factors and assigned weights.

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    PM(7)

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    This document discusses portfolio optimization using expected returns, variances, and weights. It provides values for expected market return (Rm), variance of the market (Var m), risk-free rate (Rf), and investment amount (A). It then calculates the expected return of the portfolio (E(Rc)), variance of the portfolio returns (Sigmac), and resulting utility of the portfolio based on these factors and assigned weights.

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    © All Rights Reserved
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    Download as xlsx, pdf, or txt
    7 views4 pages

    RF 7% RM 15% Var M 22% A 4.00 Utility 0.7 0.126 0.154 Utility 0.078568 0.413223 RC - .5 (A) (Sigmac 2)

    Uploaded by

    Kshitij Sharma
    This document discusses portfolio optimization using expected returns, variances, and weights. It provides values for expected market return (Rm), variance of the market (Var m), risk-free rate (Rf), and investment amount (A). It then calculates the expected return of the portfolio (E(Rc)), variance of the portfolio returns (Sigmac), and resulting utility of the portfolio based on these factors and assigned weights.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 4

    Rf 7%

    Rm 15%
    Var m 22%
    A 4.00
    Utility Rc - .5(A)(Sigmac^2)

    Weightage 0.7
    of Rm
    E(Rc) 0.126
    Sigmac 0.154
    Utility 0.078568
    0.413223
    0.15
    0.196
    35.714285714285700% =7%/(19.6%)
    35.714285714285700% =10%/28%

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