Question
Suppose that the slope of the Capital Market Line is 0.8, the annual return variance of the Optimal Tangent Portfolio is 0.04, and the annual
Suppose that the slope of the Capital Market Line is 0.8, the annual return variance of the Optimal Tangent Portfolio is 0.04, and the annual risk-free rate is 0.01 (i.e., =1%). Find the annual expected return of the Optimal Tangent Portfolio.
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Data Analysis And Decision Making
Authors: Christian Albright, Wayne Winston, Christopher Zappe
4th Edition
538476125, 978-0538476126
