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Question 9 15 pts Use the following two tables to answer questions a. - e. Expected Return Standard (%) Deviation Portfolio 13 O O O
Question 9 15 pts Use the following two tables to answer questions a. - e. Expected Return Standard (%) Deviation Portfolio 13 O O O D da w Correlation Matrix U C D A 1.0 0.8 0.2 0.7 1.0 on @ > -0.3 10 0.3 0.9 1.0 a. Which of the above securities cannot lie on the efficient frontier? b. Why might you nonetheless include it in your portfolio? c. What is the expected return for a portfolio comprised of 40% security B and 60% security C? d. What is the standard deviation for a portfolio comprised of 40% security B and 60% security C? e. Suppose a risk-free asset with a yield of 3% exists, but only for lending. Would the highly risk-averse investor's optimal portfolio be likely to contain asset C? Why or why not
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