Assignment Task
Part A
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
Mrs Z’s utility function is given by the following equation:
U_{Z}(R, sigma ^ 2) = R – 0.4sigma ^ 2
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.
