Fw: FNCE 455: finals question

[Suraj Ayinikatt]

:)
 

Suraj Ayinikatt

----- Forwarded Message ----
From: George Chacko <gch...@scuniv.org>
To: Suraj Ayinikatt <suraj...@yahoo.com>
Sent: Sun, May 29, 2011 12:16:39 AM
Subject: Re: FNCE 455: finals question

I can't answer this. Think about what a reasonable analysis of the decision facing Harvard's board would entail. And then think about the question.

----------------------------

George Chacko

Sent from my iPad

On May 28, 2011, at 7:23 PM, "Suraj Ayinikatt" <suraj...@yahoo.com> wrote:

Prof Chacko,

• Where does the current policy portfolio stand relative to the the efficient frontier given the assumptions about expected returns and risk in Exhibit 17? Does this make sense? Which assumptions are the portfolio weights most sensitive to? Suppose you were to calculate the mean-variance optimal portfolio with inputs such that each asset class is assumed to have an equal Sharpe ratio?Where does this portfolio stand compared to the efficient frontiers calculated in Exhibits 18 and 19? Does this make sense? Which approach do you think results in the better portfolio?

I'm not clear on the highlighted part of the question posted. The case provides return/risk assumptions on each asset class.

Do I have the flexibility to vary the assumptions of return/risk for each asset class to have equal Sharpe ratio?

 

Suraj Ayinikatt

[Gabriel Bowers]

He gave me a similar response for the 'equal sharpe ratio' question.
(Also from his Ipad)

He did confirm with me that the 1% interest (question5) was
semi-annual compounded.

On 5/31/11, Suraj Ayinikatt <suraj...@yahoo.com> wrote:
> :)
> Suraj Ayinikatt
>
>
>
> ----- Forwarded Message ----
> From: George Chacko <gch...@scuniv.org>
> To: Suraj Ayinikatt <suraj...@yahoo.com>
> Sent: Sun, May 29, 2011 12:16:39 AM
> Subject: Re: FNCE 455: finals question
>
>
> I can't answer this. Think about what a reasonable analysis of the decision
> facing Harvard's board would entail. And then think about the question.
>
>
> ----------------------------
> George Chacko
> Sent from my iPad
>
> On May 28, 2011, at 7:23 PM, "Suraj Ayinikatt" <suraj...@yahoo.com>
> wrote:
>
>
>
>>
>>Prof Chacko,
>>
>>
>>
>>

>> * Where does the current policy portfolio stand relative to the the

>> efficient
>>frontier given the assumptions about expected returns and risk in Exhibit
>> 17?
>>Does this make sense? Which assumptions are the portfolio weights most
>>sensitive to? Suppose you were to calculate the mean-variance optimal
>> portfolio
>>with inputs such that each asset class is assumed to have an equal Sharpe
>>ratio?Where does this portfolio stand compared to the efficient frontiers
>>calculated in Exhibits 18 and 19? Does this make sense? Which approach do
>> you
>>think results in the better portfolio?
>>
>>
>>
>>
>>I'm not clear on the highlighted part of the question posted. The case
>> provides
>>return/risk assumptions on each asset class.
>>
>>
>>Do I have the flexibility to vary the assumptions of return/risk for each
>> asset
>>class to have equal Sharpe ratio?
>>
>>
>> Suraj Ayinikatt
>>
>>

--
Sent from my mobile device

[Robert Binkley]

Hi,

I enjoyed participating as part of the group. This class was much
different than any other classes I have taken, and at this point, have
no idea what grade to expect. Since we don't have a final session, I
guess there will be no celebration, so I am sending out my virtual
cheers!
I sent out linked-in requests to those of you I had email addresses. If
I missed you, please link me in: Robert....@xilinx.com

Have a good break!

-r

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[alex smirnov]

boy I'm glad it's over...for a while at least

is anybody else spending the summer quarter being encouraged to enter into a shady financial deal with negative arbitrage?  ;)   (FNCE 488)

[Vince]

likewise, nice working with you all on the cases btw, what did u guys come up with? kinda curious what the right response was. here's mine 1 - 42/55 split is optimal 2- still not liquid 3 - add VaR as constraint to accommodate for risk 4- with all sharpe held constant, it looked more like exhibit 19 5- no, put would be stupid as it cost 5.46% or 1.366 billion --- On Fri, 6/3/11, alex smirnov <alex.s...@gmail.com> wrote:

[Gabriel Bowers]

Those are very close to my answers as well.

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