Question
Suppose that there are 3 asset-classes: A, B and C. Suppose also that we know the composition of assets of 2 MVPs: - portfolio 1:
Suppose that there are 3 asset-classes: A, B and C. Suppose also that we know the composition of assets of 2 MVPs:
- portfolio 1: A: 80% , B: 15% , C: 5% of portfolio
- portfolio 2: A: 40% , B: 40% , C: 20% of portfolio
The expected return of portfolio 1 is 10.5%, while the expected return of portfolio 2 is 7.4%.
What are the weights of assets A, B and C in MVP with an expected return of 9.57%?
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Corporate Finance Reader
Authors: Robert W. Kolb
2nd Edition
1878975536, 978-1878975539
