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Maria Cruz is the senior PM at Golden Cross Asset Management. She is estimating what are the optimal shares WD and WE that will
Maria Cruz is the senior PM at Golden Cross Asset Management. She is estimating what are the optimal shares WD and WE that will maximize the Sharpe ratio for a portfolio combining a stock fund (EQTIK) and a bond fund (BDTIK). Maria estimated that the expected return and volatility for EQTIK are 24% and 20%; and for BDTIK are 14% and 10%, respectively. The covariance between EQTIK and BDTIK is 0 (ZERO) and the risk free rate is 4%. Based on Maria's data, the optimal shares WD and W*E will be and
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Statistics For Business Decision Making And Analysis
Authors: Robert Stine, Dean Foster
2nd Edition
978-0321836519, 321836510, 978-0321890269
