Portfolio A has a return of 12% and a standard deviation of 18%, and Portfolio B has an expected return of 10%. Based on the
Portfolio A has a return of 12% and a standard deviation of 18%, and Portfolio B has an expected return of 10%. Based on the mean-variance criterion, we are informed that Portfolio A dominates Portfolio B. Based on this information, an appropriate standard deviation for Portfolio B is
Group of answer choices
24%
4%
18%
Both 18% and 24% are appropriate.
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Authors: Alexander Lipton, Andrew Rennie
1st Edition
0199546789, 978-0199546787
