Weight of the Active Portfolio Assignment | Homework For You
There are already four stocks in the active portfolio
for these four stocks, X 0345 .
a0.032, A-1.035, (e)-0.0387.
You want to add a fifth stock S to create a new optimal risky portfolio. You perform a linear regression on the excess returns of the market R and the excess returns of stock S, Rs Ts You find the following results
Slope: 1.573. Annualized SD of the residual: 0.224
Further analysis leads you to forecast ag -0.004 for the coming year.
Update the active portfolio, including stock S. What is the updated weight of the active portfolio wi in the new optimal risky portfolio? Get Finance homework help today