Questions
BU.232.750.81.FA25 Final Exam Fall 2025- Requires Respondus LockDown Browser
Single choice
The optimal portfolio on the efficient frontier for a given investor does not depend on_______
Options
A.C. the coefficient, A, which is a measure of risk aversion.
B.B. the investor's degree of risk tolerance.
C.D. the investor's required rate of return.
D.A. the investor's degree of risk tolerance and the coefficient, A, which is a measure of risk aversion.
E.E. the investor's degree of risk tolerance and the investor's required rate of return
View Explanation
Verified Answer
Please login to view
Step-by-Step Analysis
Question restatement: The optimal portfolio on the efficient frontier for a given investor does not depend on_______
Option A: the investor's degree of risk tolerance and the coefficient, A, which is a measure of risk aversion.
- Why this is incorrect: This option suggests the optimum would be independent of both risk tolerance and the risk-aversion coefficient A. In Mean-Variance/utility frameworks, the choice along the efficient frontier typically changes with the investor’s risk preferences (risk tolerance) and their overall objectives, so claiming ......Login to view full explanationLog in for full answers
We've collected over 50,000 authentic exam questions and detailed explanations from around the globe. Log in now and get instant access to the answers!
Similar Questions
Which statement is (are) false about resampled efficient frontier?
Question at position 15 Without imposing no-shorting constraints, you found the tangency portfolio of 3 assets A, B, and C to have weights [0.6, 0.6, -0.2], respectively. What is the most precise thing you can say about the weights of the tangency portfolio once you impose no-shorting constraints?The weights will be [0.5, 0.5, 0.0].The weight on asset C will increase.The weights will remain the same: [0.5, 0.7, -0.2].None of the statements above are necessarily true.The weights on both assets A and B will decrease.
Question at position 15 Rather than tracing out the efficient frontier, you decide to calculate the Sharpe ratio-maximizing portfolio directly. You wrote the function to calculate the sharpe ratio of a portfolio given its weights as follows: def sharpe_ratio(w, μ, Σ, rf): r = w.transpose @ μ σ = np.sqrt(w.transpose @ Σ @ w) return (r - rf) / σ You then define an objective function objective(w): def objective(w): return a * sharpe_ratio(w, μ, Σ, rf) and minimize it subject to constraints using scipy.optimize.minimize. Which value of a will allow you to find the Sharpe ratio-maximizing portfolio? rf10You cannot find the maximum Sharpe ratio using the minimize function.-1
Partners healthcare case: Which is of commodities or real estate improve the risk return profile and the efficient frontier of the investments?
More Practical Tools for Students Powered by AI Study Helper
Making Your Study Simpler
Join us and instantly unlock extensive past papers & exclusive solutions to get a head start on your studies!