ECON 851 Midterm: ECON851 Midterm2Summer2015Solution
Document Summary
Instructions: this is closed book, closed notes exam, no calculators of any kind are allowed, show all the calculations, if you need more space, use the back of the page, fully label all graphs. Notation for mean-variance portfolios with n risky assets. Share of wealth invested in risk-free asset: 0 . 0 r r r f: using the matrix notation on page 1, express the mean return on a portfolio with fraction 0 invested in the risk-free asset and vector of weights on risky assets. 0 fr: using the matrix notation on page 1, express the variance of return on a portfolio with fraction 0 invested in the risk-free asset and vector of weights on risky assets. 2: using the matrix notation on page 1, write the utility maximization of an investor with mean-variance utility function u. 2 choosing portfolios consisting of n risky assets and a risk-free asset.
