Question
Asset A offers an expected rate of return of 10% with a standard deviation of 25%. Asset B offers an expected rate of return of
Asset A offers an expected rate of return of 10% with a standard deviation of 25%. Asset B offers
an expected rate of return of 5% with a standard deviation of 30%. Assume that the risk-free
interest rate is zero.
Show with calculations that there is NO diversification benefit resulting from forming the
portfolio.
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Foundations Of Finance
Authors: Arthur J Keown, John D Martin, J William Petty
7th Edition
0133370356, 9780133370355
