Question
Given the two risky assets with expected returns 1 = 0.10, 2 = 0.12, and STD 1 = 0.2, 2 = 0.2, assuming the risk-free
Given the two risky assets with expected returns 1 = 0.10, 2 = 0.12, and STD 1 = 0.2, 2 = 0.2, assuming the risk-free rate is f = 0.05 and the correlation between the two assets is r12 = 0,
(a) What is the expected return and STD (risk) of the MVP?
(b) What is the expected return and STD (risk) of the tangency portfolio?
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
1441947205, 978-1441947208
