QUESTION 13 Use the data below for questions 11 to 15 (among the 4 options in each multiple choice, choose the one that is equal, or numerically closer to the answer you obtain from your calculations). = ==== === == = ==== == === == == === == === = = Two securities have the following characteristics: E(RA) = 06 0A = .04 E(RB) = 08 OB = 10 Assume that the risk free rate is .04. Consider the data above for asset A and asset B. The correlation between the two assets is 0. Below is the formula for the weight in asset A in the tangency portfolio (that is, the tangency portfolio that is found from extending a line from the risk-free rate to the tangency point of the attainable portfolios curve): [E(RA) - rf] 028 - [E(RB) - r4] OA OB corr (RA, RB) WA= [E(RA) - rf] 028 + [E(RB) - rf] 02A - [E(RA) - rf + E(RB) - rf] CA OB corr (RA, RB) = = == == === ==== == == = === = EEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEEE================= Question 13. For the tangency portfolio, find the standard deviation: A. 0.03881 B. 0.04231