3 Two-Period Model: Mean-Variance Approach

Thorsten Hens and Marc Oliver Rieger
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Thorsten Hens: University of Zurich
Marc Oliver Rieger: University of Trier

A chapter in Solutions to Financial Economics, 2019, pp 11-14 from Springer

Abstract: Abstract There are two risky assets, k = 1, 2 and one risk-free asset with return of 2%. Risky assets cannot be short sold. The expected returns of the risky assets are μ 1 := 5% and μ 2 := 7.5%. The covariance matrix is: C O V : = 2 % − 1 % − 1 % 4 % . $$\displaystyle COV := \begin {pmatrix}2\% & -1\%\\ -1\% & 4\% \end {pmatrix}.$$

Date: 2019
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DOI: 10.1007/978-3-662-59889-4_3

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