Asset Allocation I Harvard Case Solution & Analysis

The purpose of these models is to understand the mathematics mean variance optimization and balance risk, if all investors use this rule is a common set of information. Modeling focuses on five to 10 years of monthly income sectors, which were originally taken from the known multivariate normal distribution. The average deviation of optimization is designed to obtain high ratio excess return of the portfolio in the portfolio standard deviation (ie, the highest Sharpe ratio) in this situation. Simulation B changes the settings, allowing students to determine the expected return on the simultaneous auction. We continue to have an agreement on the covariance matrix, and indirectly through the expected payments, but will allow students to set market prices. The average weight of the portfolio of 10 sectors is calculated and used as a vector of market capitalization weights. With this market weights (W) and of the covariance matrix, capital asset pricing model (CAPM) implies expected return is calculated for each sector and compared with the student to set the expected yield. "Hide
by Eric Stafford, Joshua D Koval, Rodrigo Osmo Zack Page, John Jernigan, Paulo Passoni 3 pages. Publication Date: November 15, 2007. Prod. #: 208086-PDF-ENG

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