Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Okay lets solve this stepbystep Riskfree rate 15 Optimal risky portfoli... blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Income Tax Fundamentals 2013

Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill

31st Edition

1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516

More Books

Students also viewed these Finance questions