EC7092 | Markowitz s Theory of Portfolio Selection

EC7092  January Cohort 2021

Coursework 1:  Markowitz s Theory of Portfolio Selection

Deadline: 20 September 2021

Part A (60 �marks: 15 marks per case)

Calculate the optimal risky portfolio for the following cases when short-sales are allowed. Compute its expected return and the standard deviation of its returns.

Part B (40 marks: 10 marks per case)

Mrs Z s utility function is given by the following equation:

For each one of the above cases, find the overall optimal portfolio for Mrs Z and compute its expected return  and the standard deviation  of its returns.