Homework Answers
| Returns | S.D. | Weight | |
| Tanglewood | 12% | 25% | 86.82% |
| Venture | 20% | 80% | 13.18% |
| Portfolio | 13.05% | 25.96% | |
| Sharpe | 0.349 |
Using excel solver, we need to weight of Tanglewood such that Sharpe ratio is maximized.
We get Sharpe Ratio = 0.349 by investing 13.18% in venture fund.
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In addition to nsk-free securities, you are currently invested in the Tanglewood Fund, a broad-based fund...
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In addition to risk-free securities, you are currently invested in the Tanglewood Fund, a broad-based fund of stocks and other securities with an expected return of 12% and a volatility of 26%. Currently, the risk-free rate of interest is 5%. Your broker suggests that you add a venture capital fund to your current portfolio. The venture capital fund has an expected return of 21%, a volatility of 79%, and a correlation of 0.2 with the Tanglewood Fund. Assume you follow...
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15% Hulu) You currently have $125,000 invested in a portfolio that has an expected retum of 10% and a volatility of 10%. Suppose the risk troe rote la 5%, and there is another portfolio has an expected retum et 23% and a volatlly on a. What portfolio has a higher expected retum than your portfolio but with the same volatility b. What portfolio has a lower oily than your portfolio but with the same expected retum? 2. What portfolio has...
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