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1

Your lecturer was almost certainly asking for the "max-Sharpe" portfolio. See below for the formula. Essentially it equalises the marginal-contribution-to-return/marginal-contribution-to-vol, such that adding or subtracting from any weights won't change the expected-return/expected-vol of the portfolio. Derivation of the tangency (maximum Sharpe Ratio) ...


3

$P_2-P_1$ where: $P_1=\frac{1000}{\left(1+\frac{0.06+0.04}{2} \right)\left(1+0.05 \right)}$ $P_2=0.5\frac{1000}{\left(1+0.06 \right)\left(1+0.05 \right)}+0.5 \frac{1000}{\left(1+0.04 \right)\left(1+0.05 \right)}$


2

Comparing the contributions using Fund Weights versus using Benchmark weights: Sect ret fundw contrib ret bweigt contrib difference A 0.3 0.45 0.135 0.3 0.5 0.15 -0.015 B 0.1 0.1 0.01 0.1 0.2 0.02 -0.01 C 0.2 0.2 0.04 0.2 0.1 0.02 0.02 D 0.25 0.25 0.0625 0.25 0.2 0.05 0.0125 ...


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