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CAS Exam 9 Study Notes: Optimal Risky Portfolio
2019-03-12
I've uploaded my notes on construction of an optimal risky portfolio, based on Chapter 7 of the Investments textbook by Bodie, Kane, and Marcus. These notes correspond to learning objectives A2 - A4 on the Exam 9 syllabus. The notes explain how to select weights for risky assets that maximize the Sharpe ratio, in both the bivariate case (using an explicit formula) and the multi-variate case (using quadratic programming). The notes also illustrate how correlation between assets reduces the benefits of diversification due to systematic risk.
Keywords: Actuarial Science, Study Note, Exam 9