Question
Asset A : E(r)=12%,Sigma=18% Asset B: E(r)=17%, Sigma=18% The correlation between Asset A and B is 0.25 Given the information above. Assume that risk-free rate
Asset A: E(r)=12%,Sigma=18%
Asset B: E(r)=17%, Sigma=18%
The correlation between Asset A and B is 0.25
Given the information above. Assume that risk-free rate is 5% and your degree of risk-aversion is 6. Now in addition to investing these two risky assets, you can also invest in one risk-free asset. What is the weight of each asset (Asset A, Asset B, and the risk-free asset) in the optimal portfolio which gives you the highest utility?
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Introduction To Derivatives And Risk Management
Authors: Robert Brooks, Don M Chance
9th Edition
1133190197, 978-1133190196
