Question
Please explain how to solve this question You own two risky assets, both of which plot on the security market line. Asset A has an
Please explain how to solve this question
You own two risky assets, both of which plot on the security market line. Asset A has an expected return of 11% and a beta of 0.7. Asset B has an expected return of 20% and a beta of 1.5. If your portfolio beta is the same as the market portfolio, what proportion of your funds are invested in asset A?
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
