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 ï¿½marks: 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.

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