Assume there are only three risky assets in which to invest, A, B and C. The...
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Assume there are only three risky assets in which to invest, A, B and C. The expected return and standard deviation of return of asset A are 0.08 and 0.04, respectively. Similarly, the expected return and standard deviation of return of asset B are 0.1 and 0.05, respectively. Finally, the expected return and standard deviation of return of asset Care 0.07 and 0.02, respectively. The correlation coefficient between the returns of these assets are as follows: PAB 0.5, PAC 0.2 Pac -0.4 You want to form a portfolio composed of these three securities with an expected return of 10% What are the weights of A, B and C in an efficient portfolio with an expected return of 10%? Assume there are only three risky assets in which to invest, A, B and C. The expected return and standard deviation of return of asset A are 0.08 and 0.04, respectively. Similarly, the expected return and standard deviation of return of asset B are 0.1 and 0.05, respectively. Finally, the expected return and standard deviation of return of asset Care 0.07 and 0.02, respectively. The correlation coefficient between the returns of these assets are as follows: PAB 0.5, PAC 0.2 Pac -0.4 You want to form a portfolio composed of these three securities with an expected return of 10% What are the weights of A, B and C in an efficient portfolio with an expected return of 10%?
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Related Book For
Corporate Finance Core Principles and Applications
ISBN: 978-0077905200
3rd edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford
Posted Date:
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