Question
Suppose, risk-free rate is 1.5%. The optimal tangent portfolio is formed with 30% on Amazon and 70% on Pfizer. The optimal risky portfolio has expected
Suppose, risk-free rate is 1.5%. The optimal tangent portfolio is formed with 30% on Amazon and 70% on Pfizer. The optimal risky portfolio has expected return of 24%, standard deviaiton of 15%, and Sharpe Ratio of 1.50.Suppose now your client Brian hope to form a complete portfolio on the best feasible Capital Allocation Line.Brian has specified hat he does not want take risk more than 10% of the annual standard deviation.His complete portfolio will consist of only risk-free asset and the optimal risky portfolio (with Amazon and Pfizer).
What is the highest expected portfolioreturn Brain can earn on his complete portfolio?
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