1. If you want to allocate your funds between a market portfolio and a mutual fund, and given that you calculated the following statistics for each mutual fund individually which performance measure is the most relevant in this case??
2. According to the mean-variance criterion, which one of the following investments dominates all others?
E(r) = 0.15; Variance = 0.25
E(r) = 0.10; Variance = 0.20
E(r) = 0.15; Variance = 0.20
E(r) = 0.10; Variance = 0.25
3. Consider a two-factor model, with factors E and F. A factor portfolio (i.e., a factor mimicking portfolio) for factor E has the following properties (select all that you think are correct):
it has a beta of one on E
it has a beta of zero on E
it has a beta of one on F
it has a beta of zero on F
it is well-diversified
it is not necessarily well diversified