Question
Jade plans to invest in a portfolio which comprises an equity (risky) fund and a T-bill money market fund. The equity fund invested 35% in
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Jade plans to invest in a portfolio which comprises an equity (risky) fund and a T-bill money market fund. The equity fund invested 35% in stock XO and 65% in stock YE. The variance of the equity fund is 10.03%. The expected return of stock XO is 14.2%. The expected return of stock YE is 26.4%. T-bill rate is 3%. If Jade has a degree of risk aversion (or price of risk) of 2.8, what proportion, y, of the total investment should be invested in the equity fund?
| A. | 70% | |
| B. | 68% | |
| C. | 21% | |
| D. | 79% |
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The Everything Guide To Day Trading
Authors: David Borman
1st Edition
1440506213, 978-1440506215
