ACTSC372 : a1.pdf

• School: University of Waterloo
• Department: Actuarial Science
• Course: ACTSC372
• Professor: Javid Ali

Document Summary

Actsc 372 - assignment 1 - fall 2012. The data provided in the spreadsheet is an excerpt of table 10. 1 of the course textbook. More speci cally, you are provided with the yearly returns data for canadian stocks, long bonds and u. s. stocks over the period 2000-2009. Given a set of weights (wc, wb, wu ), the spreadsheet outputs the portfolio"s expected return and return vari- ance (note that the subscript "c" stands for canadian stocks, "b" for long bonds and "u" for u. s. stocks respectively). Provide an (e) expression for w in terms of the risk tolerance : determine the risk tolerance level for a portfolio with 9% expected return. Compare your results. (f) suppose now that there exists a risk-free asset that yields a return of 1%.