Question
Assume that the risk-free rate is 5%. The tangency portfolio has the expected return 13% and the standard deviation of return 16%. Suppose that you
Assume that the risk-free rate is 5%. The tangency portfolio has the expected return 13% and the standard deviation of return 16%. Suppose that you can bear a maximum of 24% standard deviation on returns of your portfolio. What is the maximum level of expected return can you obtain?
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Guardians Of Finance
Authors: James R. Barth, Gerard Caprio, Ross Levine
1st Edition
0262526840, 978-0262526845
