Question
(Hint: you may want to use excel for this question): Suppose that there are only two stocks in the market and a risk free asset
(Hint: you may want to use excel for this question): Suppose that there are only two stocks in the market and a risk free asset
E(Ra)=18% , SD(Ra)=15%
E(Rb)=12% , SD(Rb)=7%)
COV(Ra,Rb)=0 Rf=5%,
Supposed that you want to invest in a portfolio with E(Rp)=15%.
a.Calculate the SD(Rp)
b. Write down the portfolio's weights for each one of the securities you decided to invest in.
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
