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中文题目An unconstrained optimizer wants a large short in one equity sleeve to hedge two crowded longs, but mandate rules require long-only weights. Explain why the long-only solution can look qualitatively different rather than just a clipped version of the unconstrained one.
打开 →Two risky assets have volatilities 0.05 and 0.11, correlation 0.25, and expected returns 0.09 and 0.13. Under a fully invested long-only portfolio, choose weights so the two assets contribute equally to total variance. What are the weights and the portfolio expected return?
打开 →A fully invested long-only portfolio allocates weight w to asset 2 and 1-w to asset 1. Asset 1 has expected return 0.05 and volatility 0.025. Asset 2 has expected return 0.14 and volatility 0.12. Their correlation is 0.3. If portfolio variance must not exceed 0.006, what is the l
打开 →A two-asset equal-risk-contribution portfolio uses long-only weights that sum to 1. Asset A has vol 10.00\%, asset B has vol 25.00\%, and their correlation is 0.3. What weights equalize the two assets' variance contributions?
打开 →A two-asset equal-risk-contribution portfolio uses long-only weights that sum to 1. Asset A has vol 12.00\%, asset B has vol 18.00\%, and their correlation is -0.2. What weights equalize the two assets' variance contributions?
打开 →A two-asset equal-risk-contribution portfolio uses long-only weights that sum to 1. Asset A has vol 14.00\%, asset B has vol 28.00\%, and their correlation is 0. What weights equalize the two assets' variance contributions?
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