Description of this paper

A portfolio manager is concerned about not keepin...

Description

Solution


Question

A portfolio manager is concerned about not keeping up with the rate of inflation. His portfolio has a mean return of 9% with a variance of 144. If the inflation is expected to be 3.5% what is the shortfall risk, i.e., the portfolio return being less than 3.5%? A. 32.3% B. 67.7% C. 0% D. 50%

 

Paper#8663 | Written in 18-Jul-2015

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