19. (Appendix Question) Pickles Gerken owns a tangency portfolio composed of four securities held in the following

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19. (Appendix Question) Pickles Gerken owns a tangency portfolio composed of four securities held in the following proportions:

[

.18J X(T) = .30

.24

.28 The riskfree rate is 4%. The expected return and standard deviation of the tangency portfolio are respectively, 12% and 18%. What is the composition of Pickles'

optimal portfolio if Pickles has a risk aversion coefficient of 2.47?

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Investments

ISBN: 9788120321014

6th Edition

Authors: William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey

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Question Posted: Jul 25, 2024 06:01 AM

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19. (Appendix Question) Pickles Gerken owns a tangency portfolio composed of four securities held in the following

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Investments

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