Quantitative Portfolio Management Course - ESCP EUROPE, Année universitaire 2014/15

Quantitative Portfolio Management Course - ESCP EUROPE, Année universitaire 2014/15 ESCP - EUROPE Scbool ofManagement ES C P E. JURCZENKO Course E U R 0 P E Année universitaire 2014-201 5 Exercise 1: Consider a perfect market with two risky assets characterized by the following statistical parameters: E1= 0.1 (712 = 0.04 and E2 = 0.2 022 = 0.16 1°) Determine the co-ordinates in the standard deviation/ mean plane of the risky portfolios with W1 = 0; 0.2; 0.4; 0.6; 0.8; l in the four following correlation cases: 3) 101,2 = +1 b) 101,2 = 0 C) 101,2 = ‘0-5 d) 101,2 = ‘1 2°) Determine the minimum variance portfolio composition and its co-ordinates in the standard deviation/ mean plane in the four previous correlation cases. 3°) Represent graphically the feasible sets in the mean-standard deviation plane. Exercise 2: 1°) Consider a perfect market with two risky stocks, characterized by the following statistical parameters: E1 = 0.05 of = 0.01 and 2 E2 =0.15 02 =0.l6 Knowing that the correlation coefficient between the two risky assets is equal to ,01,2 = -0.5 a) Determine the co-ordinates in the standard deviation/ mean plane of the risky portfolios with w1 = 0; 0.25; 0.5; 0.75; 1. b) Determine the minimum variance portfolio composition and its co-ordinates in standard deviation/ mean plane. What is the covariance between the equally weighted portfolio and the minimum variance portfolio? What do your remark. PLACE THIS ORDER OR A SIMILAR ORDER WITH US TODAY AND GET AN AMAZING DISCOUNT :)