14. Given the following expected return vector and variance-covariance matrix for three assets: and given the fact
Question:
14. Given the following expected return vector and variance-covariance matrix for three assets:
and given the fact that Pie Traynor's risky portfolio is split 50-50 between the two risky assets:
a. Which security of the three must be the riskfree asset? Why?
b. Calculate the expected return and standard deviation of Pie's portfolio.
c. If the riskfree asset makes up 25% of Pie's total portfolio, what are the total portfolio's expected return and standard deviation?
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Related Book For 
Investments
ISBN: 9788120321014
6th Edition
Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey
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