Question
Asset As expected return is 5% and return standard deviation is 25%. Asset Bs expected return is 8% and return standard deviation is 32%. Asset
Asset As expected return is 5% and return standard deviation is 25%.
Asset Bs expected return is 8% and return standard deviation is 32%.
Asset C is a risk-free asset with 2% return.
Constructing a portfolio from assets A and C such that the expected return of the portfolio equals 10%, find the portfolio weights of assets A and C and compute the return standard deviation of the portfolio. (a) weight = 1/3, Std(rp) = 0.48 (b) weight = 1/3, Std(rp) = 0.20 (c) weight = 8/3, Std(rp) = 0.04 (d) weight = 8/3, Std(rp) = 0.67 Year 2004,2005,2006,2007,2008,2009,2010
Price 100, 110,104.5, 106.59,106.59,110.85,108.63
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