Question
Part A: Assume the riskfree rate is 3.50%. Using the stock and bond portfolios from problem 1, what is the bond weight in the tangency
Part A: Assume the riskfree rate is 3.50%. Using the stock and bond portfolios from problem 1, what is the bond weight in the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio? Enter your answer rounded to two decimal places
STOCK AND BOND INFO:
You put 70% of your money in a stock portfolio that has an expected return of 14.95% and a standard deviation of 44%. You put the rest of you money in a risky bond portfolio that has an expected return of 4.95% and a standard deviation of 18%. The stock and bond portfolio have a correlation 0.32.
Part B: Using the information from problem 4, what is the Sharpe ratio of the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio? Enter your answer rounded to two decimal places.
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Quantitative Analysis For Management
Authors: Barry Render, Ralph M. Stair, Michael E. Hanna, Trevor S. Hale
14th Edition
