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Problem 6 - 0 9 partnerships ( PR ) as well: Current Allocation: 7 0 percent of Asset CS , 3 0 percent of Asset
Problem
partnerships PR as well:
Current Allocation: percent of Asset CS percent of Asset FI
Proposed Allocation: percent of Asset CS percent of Asset FI percent of Asset PR
You also consider the following historical data for the three risky asset classes CS FI and PR and the riskfree rate RFR over a recent investment period:
You have already determined that the expected return and standard deviation for the Current Allocation are: percent and percent.
a Calculate the expected return for the Proposed Allocation. Round your answer to two decimal places.
b Calculate the standard deviation for the Proposed Allocation. Do not round intermediate calculations. Round your answer to two decimal places.
decimal places.
Current Allocation:
Proposed Allocation:
d Using your calculations from part c explain which of these two portfolios is the most likely to fall on the Markowitz efficient frontier.
Th
is the most likely to fall on the Markowitz efficient frontier.
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