Question
Assume that the correlation coefficient between returns on X and Y is 0.2. Which risky asset or portfolio is best to use in combination with
Assume that the correlation coefficient between returns on X and Y is 0.2.
Which risky asset or portfolio is best to use in combination with the risk-free asset, to create a total portfolio for the investor?
|
| E(r) | Standard Deviation |
| Risk-free Asset | 4% |
|
| Asset X | 10% | 20% |
| Asset Y | 6% | 30% |
Question 11 options:
| Asset X by itself | |
| Asset Y by itself | |
|
A 60% in Asset X, 40% in Asset Y portfolio |
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi, Francesco A. Fabozzi
10th Edition
026204627X, 978-0253337535
