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Calcualte the expected return and volatility of an effecient portoflio where 40% of it is financed via a short position in the riskfree asset My

Calcualte the expected return and volatility of an effecient portoflio where 40% of it is financed via a short position in the riskfree asset

My question is from an exam, i know the answer is suppse to be:


The question is as following:

It is question 4/4

Other information from the total assignment has been




Aswell as some calculations we made:



 
 
 

Facit: E[Rp] =0,1938; (Rp) = 0,2538 (25,38 %-point)

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