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Σ= 5 20 . 2. Three risky assets: RF = 4, R′ = [5, 9, 8], and
EC7092 Summer Term 2019
Coursework 1: Calculating Optimal Risky Portfolios Deadline: 01 July 2019
Calculate the optimal risky portfolio for the following cases when short-sales are allowed:
1. Two risky assets: RF = 3, R′ = [6, 9], and
4 5
10 0 0 Σ= 0 40 0 .
0 0 20 3. Three risky assets: RF = 5, R′ = [12, 9, 8], and
40 10 5 Σ= 10 20 0 .
5 0 30 4. Five risky assets: RF = 2, R′ = [5,3,18,9,2], and
2 16 5 0 8
1610 122 7 Σ= 5 12 20 14 27 .
0 2 14 9 13 8 7 27 13 2
1

MATLAB | EC7092 Summer Term 2019 Coursework 1 was last modified: 9月 21st, 2022