State the optimal portfolio in boxes below (monetary amounts rounded to 2 decimals, without £symbol).Enter your answer hereEnter your answer hereEnter your answer hereEnter your answer hereEnter your answer here You have £500 to invest in 5 assets whose returns are independent and normally distributed,respectively, as N(1.03,0.05), N(1.04,0.08), N (1.01, 0.01), N (1.09, 0.13) and N (1.06, 0.065), wherethe first value is mean and second is std. dev. At least 20% of your portfolio should be investedin the first asset, no more than 75% can be made up of second, third and fifth assets combined,and investment in the fourth asset cannot be any bigger than the first asset. Short-selling is notallowed.Consider the tradeoff model with & = 0.2.

Portfolio - Investing in stocks, bonds, commodities, cash, and cash equivalents, such as closed-end…

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FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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Question

State the optimal portfolio in boxes below (monetary amounts rounded to 2 decimals, without £
symbol).
Enter your answer here
Enter your answer here
Enter your answer here
Enter your answer here
Enter your answer here

You have £500 to invest in 5 assets whose returns are independent and normally distributed,
respectively, as N(1.03,0.05), N(1.04,0.08), N (1.01, 0.01), N (1.09, 0.13) and N (1.06, 0.065), where
the first value is mean and second is std. dev. At least 20% of your portfolio should be invested
in the first asset, no more than 75% can be made up of second, third and fifth assets combined,
and investment in the fourth asset cannot be any bigger than the first asset. Short-selling is not
allowed.
Consider the tradeoff model with & = 0.2.

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