Which combination maximises excess portfolio expected return per unit of risk? What is the economic interpretation for this combination? MeanStdCHOS_STOCK PRICE AORD INDEX Correlation (CHOS, AORD)11.40%8.26%33.14%18.46%Q5Weight COH.AX Weight ^AORD0.00.10.20.30.40.50.60.70.80.911.00.90.80.70.60.50.40.30.20.10Portfolio Risk Portfolio Return18.46%18.60%19.15%20.08%21.34%22.87%24.63%26.57%28.65%30.85%33.14%53.40%8.26%8.57%8.89%9.20%9.52%9.83%10.14%10.46%10.77%11.09%11.40%Risk Free Rate4%4%4%4%4%4%4%4%4%4%4%Beta0.960.960.960.960.960.960.960.960.960.960.96Q6Excess Return/Unit of Risk4.44%4.77%5.10%5.43%5.75%6.08%6.41%6.74%7.06%7.39%7.72%Q8CAMP8.08%

A portfolio of investments refers to a collection or combination of various financial assets, such…

Answered: Which combination maximises excess…

Which combination maximises excess portfolio expected return per unit of risk? What is the economic interpretation for this combination?

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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Question

Which combination maximises excess portfolio expected return per unit of risk? What is the economic interpretation for this combination?

Mean
Std
CHOS_STOCK PRICE AORD INDEX Correlation (CHOS, AORD)
11.40%
8.26%
33.14%
18.46%
Q5
Weight COH.AX Weight ^AORD
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
Portfolio Risk Portfolio Return
18.46%
18.60%
19.15%
20.08%
21.34%
22.87%
24.63%
26.57%
28.65%
30.85%
33.14%
53.40%
8.26%
8.57%
8.89%
9.20%
9.52%
9.83%
10.14%
10.46%
10.77%
11.09%
11.40%
Risk Free Rate
4%
4%
4%
4%
4%
4%
4%
4%
4%
4%
4%
Beta
0.96
0.96
0.96
0.96
0.96
0.96
0.96
0.96
0.96
0.96
0.96
Q6
Excess Return/Unit of Risk
4.44%
4.77%
5.10%
5.43%
5.75%
6.08%
6.41%
6.74%
7.06%
7.39%
7.72%
Q8
CAMP
8.08%

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