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Question 11 (5 points): You would like to form a portfolio. You have the following information: - ADCB stock has an average return of 8.5%
Question 11 (5 points): You would like to form a portfolio. You have the following information: - ADCB stock has an average return of 8.5% and a standard deviation of 16.5%. - ADIB stock has an average return of 16.5% and a standard deviation of 22.5%. - The correlation between ADCB and ADIB is 30%. - The risk free rate is equal to 5%. Assume that the optimal risky portfolio has a return of 12.19% and a standard deviation of 12.78%. Your risk aversion degree (A) is equal to 9 . What would be the weight (y) that you invest in the optimal risky portfolio
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