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Stock Expected Return Standard Deviation A 10 20 B 15 25 Correlation(A,B) = .5. The tangent portfolio invests 50% in A and 50% in B.
Stock Expected Return Standard Deviation A 10 20 B 15 25 Correlation(A,B) = .5. The tangent portfolio invests 50% in A and 50% in B. = a. You can borrow or lend at the riskfree rate of 3%. You have $100 to invest and your goal is to construct the optimal portfolio with an expected return of 10%. What is the dollar amount that you would borrow or lend and how much will you invest in stocks A and B? b. What is the standard deviation of this portfolio? Stock Expected Return Standard Deviation A 10 20 B 15 25 Correlation(A,B) = .5. The tangent portfolio invests 50% in A and 50% in B. = a. You can borrow or lend at the riskfree rate of 3%. You have $100 to invest and your goal is to construct the optimal portfolio with an expected return of 10%. What is the dollar amount that you would borrow or lend and how much will you invest in stocks A and B? b. What is the standard deviation of this portfolio
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