Question
Security Expected Return Standard Deviation A 12% 24% B 20% 40% T-Bills 4% 0% The correlation coefficient between securities A and B is -0.30. 1.Find
| Security | Expected Return | Standard Deviation |
| A | 12% | 24% |
| B | 20% | 40% |
| T-Bills | 4% | 0% |
The correlation coefficient between securities A and B is -0.30.
1.Find the Expected Return and Standard Deviation of the Optimal Risky portfolio?
2.If an investor has a risk aversion factor of 4, what will the Expected Return and Standard Deviation of their portfolio be?
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High Frequency Financial Econometrics
Authors: Yacine Aït Sahalia, Jean Jacod
1st Edition
0691161437, 978-0691161433
