Question
1. An investor invests 50% of her wealth in the market portfolio with an expected rate of return of 12% and a standard deviation of
1. An investor invests 50% of her wealth in the market portfolio with an expected rate of return of 12% and a standard deviation of 20%, and she puts the rest in Treasury bills that pay 2% per year. What is the variance of the portfolio?
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Statistics Modeling And Finance
Authors: Mark A Munizzo, Lisa Virruso Musial
1st Edition
0840049234, 9780840049230
