Question
Consider two risky assets A and B with E(rA)= 15%, E(rB)= 9%, sigma_A= 0.32, sigma_B= 0.23, corr= 0.15. If you wan to create a portfolio
Consider two risky assets A and B with E(rA)= 15%, E(rB)= 9%, sigma_A= 0.32, sigma_B= 0.23, corr= 0.15. If you wan to create a portfolio with expected return of 12%. Your portfolio weight in Asset A (WA) should be
Select one:
a. 30%
b. 50%
c. 25%
d. 40%
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Peggy L. Hedges, Philip Chang, Keith C. Brown, Hedges Reilly Brown
1st Canadian Edition
0176500693, 978-0176500696
