Asset A : E(r)=12%,Sigma=18%,Weight=35% (this was the given weight in the first question I don't think this matters) Asset B: E(r)=17%, Sigma=18%,Weight=65% (this was the
Asset A: E(r)=12%,Sigma=18%,Weight=35% (this was the given weight in the first question I don't think this matters)
Asset B: E(r)=17%, Sigma=18%,Weight=65% (this was the given weight in the first question I don't think this matters)
Correlation coefficient between Asset A and B = .25
1. Given the information above, if you added a risk free asset at a risk free rate of 5% to the portfolio, what is the weight of Asset A in the portfolio which has the highest Sharpe ratio?
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Authors: Anthony Saunders, Marcia Cornett
8th Edition
1264098723, 978-1264098729
