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Assume that when investing in the risky portfolio, the investor must choose between just two risky assets: an equity fund and a corporate bond fund.
Assume that when investing in the risky portfolio, the investor must choose between just two risky assets: an equity fund and a corporate bond fund. The equity fund has an expected return of and a standard deviation of The corporate bond fund has an expected return of and a standard deviation of The equity fund and the corporate bond fund returns have a correlation of The treasury bill rate is Suppose that the investor invests of his allocation to the risky portfolio in the equity fund, and therefore to the corporate bond fund. Assume that theses weights correspond to those of the optimal risky portfolio Assume that the investors risk aversion coefficient A equals What is the composition of expected return and standard deviation of the optimal risky portfolio?
Assume that when investing in the risky portfolio, the investor must choose between just two risky assets: an equity fund and a corporate bond fund. The equity fund has an expected return of and a standard deviation of The corporate bond fund has an expected return of and a standard deviation of The equity fund and the corporate bond fund returns have a correlation of The treasury bill rate is Suppose that the investor invests of his allocation to the risky portfolio in the equity fund, and therefore to the corporate bond fund. Assume that theses weights correspond to those of the optimal risky portfolio Assume that the investors risk aversion coefficient A equals What is the composition of expected return and standard deviation of the optimal risky portfolio?
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