As an investor you have the secruities available for investment in Table 1: Table 1 Expectred Returns Standard Securities e Deviation A 10% 20% e B 30% 60% T-Bills 5 Correlation Coefficient (p) between -0.2 A and B Degree of Risk Aversion 5 Required: a) Find the optimal risky portfolio (P) and its expected retum and standard deviation. b) Find the optimal final portfolio (F) and its expected return and standard deviation.

As an investor you have the secruities available for investment in Table 1: Table 1 Expectred Returns Standard Securities e Deviation A 10% 20% e B 30% 60% T-Bills 5 Correlation Coefficient (p) between -0.2 A and B Degree of Risk Aversion 5 Required: a) Find the optimal risky portfolio (P) and its expected retum and standard deviation. b) Find the optimal final portfolio (F) and its expected return and standard deviation.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13QTD

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