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Port/Simple/Ivan/Ass
SIMPLE TECHNIQUE
While you are a student of STIE STAN-IM Business School, you are working as a
security analyst. Mr. Ivan, your notorious boss, ask you to calculate the optimal
allocation of the investment. Assume that RF = 5% and 2
m = 10. Find the optimal
allocation and risk and return portfolio.
Stock No. Ri i 2
ei
1 19 1.0 20
2 23 1.5 30
3 8 1.0 20
4 11 0.5 10
5 25 2.0 40
6 11 1.5 30
7 13 1.0 20
8 14 1.5 30
9 10 1.0 50
10 9.5 1.0 50
11 13 2.0 20
12 7 1.0 20
13 9 0.5 50
14 10 2.0 50
--- 000 ---

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Tugas Single Index Model sesi 11

  • 1. Port/Simple/Ivan/Ass SIMPLE TECHNIQUE While you are a student of STIE STAN-IM Business School, you are working as a security analyst. Mr. Ivan, your notorious boss, ask you to calculate the optimal allocation of the investment. Assume that RF = 5% and 2 m = 10. Find the optimal allocation and risk and return portfolio. Stock No. Ri i 2 ei 1 19 1.0 20 2 23 1.5 30 3 8 1.0 20 4 11 0.5 10 5 25 2.0 40 6 11 1.5 30 7 13 1.0 20 8 14 1.5 30 9 10 1.0 50 10 9.5 1.0 50 11 13 2.0 20 12 7 1.0 20 13 9 0.5 50 14 10 2.0 50 --- 000 ---