Given the information in the following table. Calculate the weight of the active portfolio calculate the risk premium to be earned of optimal portfolio using the index model Calculate the standard deviation of optimal portfolio using the index model Calculate the shape ratio of portfolio using the index model Solution 1. Weight of activie portfolio = (0.18*0.22 + 0.11*0.14 + 0.09*0.115) / (0.22 + 0,14+0.115) = (0.0396 + 0.0154 + 0.01035)/0.475 = 0.888.

1. Given the information in the following table. Calculate the weight of the active portfolio
calculate the risk premium to be earned of optimal portfolio using the index model Calculate the
standard deviation of optimal portfolio using the index model Calculate the shape ratio of
portfolio using the index model
Solution
1.
Weight of activie portfolio = (0.18*0.22 + 0.11*0.14 + 0.09*0.115) / (0.22 + 0,14+0.115)
= (0.0396 + 0.0154 + 0.01035)/0.475
= 0.888