Question
Exercise 1. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. E[ra] = :05, E[rB] =
Exercise 1. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free
asset. E[ra] = :05, E[rB] = :07, V ar[ra] = :06, V ar[rB] = :07, and rf = :02. Compute the optimal portfolio
three times with Corr(rA; rB) equal to -.5, 0, and .5. Discuss the results.
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Principles Of Corporate Finance
Authors: Lawrence J. Gitman, Sean M. Hennessey
2nd Canadian Edition
0321452933, 978-0321452931
