Question
Joseph wants to combine the market portfolio with the risk-free asset to form his optimal personal portfolio. The market portfolio has an expected return of
Joseph wants to combine the market portfolio with the risk-free asset to form his optimal personal portfolio. The market portfolio has an expected return of 11% and volatility of 20%. The risk-free rate is 1%. If Joseph wants to limit his personal portfolio's volatility to 18%, roughly what return should he expect?
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Analysis for Financial Management
Authors: Robert C. Higgins
10th edition
007803468X, 978-0078034688
