100% satisfaction guarantee Immediately available after payment Both online and in PDF No strings attached
logo-home
Seminar slides for Seminar 2 $11.14   Add to cart

Class notes

Seminar slides for Seminar 2

 1 view  0 purchase
  • Course
  • Institution

These were the slides provided with solutions for Seminar 1, much more in-depth than the seminar solutions provided by the lecturer. Download these if you're struggling to understand the seminar work! (the slides were augmented due to a fault in previous version)

Preview 1 out of 4  pages

  • May 19, 2023
  • 4
  • 2022/2023
  • Class notes
  • N/a
  • Seminar 2
  • Unknown
avatar-seller
Problem 1(c): Solution
The minimum-variance portfolio of Expected return on the portfolio:
2 assets requires the weight as follows:
𝐸𝑅𝑃 = 𝑊𝐴∗ 𝐸𝑅𝐴 + 𝑊𝐵∗ 𝐸𝑅𝐵
2
𝑆𝐷𝐵 −𝐶𝑜𝑣(𝐴,𝐵)
𝑊𝐴∗ = 2 +𝑆𝐷 2 −2𝐶𝑜𝑣(𝐴,𝐵) Variance of the portfolio:
𝑆𝐷𝐴 𝐵
𝑉𝑎𝑟𝑃 = (𝑊𝐴∗ )2 𝑆𝐷𝐴2 + (𝑊𝐵∗ )2 𝑆𝐷𝐵2 + 2𝑊𝐴∗ 𝑊𝐵∗ 𝐶
𝑊𝐵∗ = 1 − 𝑊𝐴∗
or Standard deviation of the portfolio:
2
𝑆𝐷𝐴 −𝐶𝑜𝑣(𝐴,𝐵) 𝑆𝐷𝑃 = 𝑉𝑎𝑟𝑃
𝑊𝐵∗ = 2 +𝑆𝐷 2 −2𝐶𝑜𝑣(𝐴,𝐵)
𝑆𝐷𝐴 𝐵

𝑊𝐴∗ = 1 − 𝑊𝐵∗

The benefits of buying summaries with Stuvia:

Guaranteed quality through customer reviews

Guaranteed quality through customer reviews

Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.

Quick and easy check-out

Quick and easy check-out

You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.

Focus on what matters

Focus on what matters

Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!

Frequently asked questions

What do I get when I buy this document?

You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.

Satisfaction guarantee: how does it work?

Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.

Who am I buying these notes from?

Stuvia is a marketplace, so you are not buying this document from us, but from seller emcevoyp2001. Stuvia facilitates payment to the seller.

Will I be stuck with a subscription?

No, you only buy these notes for $11.14. You're not tied to anything after your purchase.

Can Stuvia be trusted?

4.6 stars on Google & Trustpilot (+1000 reviews)

62890 documents were sold in the last 30 days

Founded in 2010, the go-to place to buy study notes for 14 years now

Start selling
$11.14
  • (0)
  Add to cart