Question
fund manager has three assets available: two stocks, Stock A and Stock B, and a risk-free asset. The risk-free rate is 6%.An efficient portfolio is
fund manager has three assets available: two stocks, Stock A and Stock B, and a risk-free asset. The risk-free rate is 6%.An efficient portfolio is constructed by combining the Optimal Risky Portfolio with the risk-free asset. Suppose that Roses efficient portfolio must yield an expected return of 10%. In her efficient portfolio, what is the proportion invested in the Optimal Risky Portfolio (wORP)? What is the standard deviation of her portfolio?
| Year | RA | RB |
| 2021 | 57.07% | 16.03% |
| 2020 | 41.03% | 21.96% |
| 2019 | 16.35% | 14.64% |
| 2018 | -7.29% | -8.81% |
| 2017 | 58.83% | -15.42% |
| 2016 | 48.47% | -15.11% |
| 2015 | 49.51% | 17.41% |
| 2014 | -36.40% | -1.27% |
| 2013 | -4.77% | 6.99% |
| 2012 | 50.88% | 1.58% |
| 2011 | 43.26% | -5.06% |
| 2010 | 16.96% | -18.27% |
| 2009 | -8.12% | 5.98% |
| 2008 | 35.71% | 25.58% |
| 2007 | -53.68% | 9.03% |
| 2006 | 54.32% | 18.25% |
| 2005 | -23.72% | -26.37% |
| 2004 | -19.38% | 3.61% |
| 2003 | -51.04% | 17.43% |
| 2002 | 7.75% | 14.75% |
| 2001 | 67.06% | -3.83% |
| 2000 | 37.05% | 18.38% |
| 1999 | 16.46% | 31.66% |
| 1998 | 66.41% | 20.40% |
| 1997 | 22.52% | -10.19% |
| 1996 | 38.83% | -9.22% |
| 1995 | 28.81% | 2.66% |
| 1994 | 0.90% | -2.88% |
| 1993 | 39.58% | 18.01% |
| 1992 | 90.67% | 8.39% |
| 1991 | -10.44% | 18.95% |
| 1990 | 5.41% | -4.95% |
| 1989 | -3.12% | 28.39% |
| 1988 | 36.47% | -2.84% |
| 1987 | 5.63% | 4.99% |
| 1986 | 4.33% | -4.97% |
| 1985 | 14.88% | 23.59% |
| 1984 | 64.32% | 8.96% |
| 1983 | 7.63% | 0.81% |
| 1982 | -25.46% | 0.33% |
| 1981 | 13.99% | 5.34% |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
International Finance
Authors: Keith Pilbeam
4th Edition
0230362893, 978-0230362895
