Question
Suppose that you have $1 million and the following two opportunities from which to construct a portfolio: Risk-free asset earning 13% per year. Risky asset
Suppose that you have $1 million and the following two opportunities from which to construct a portfolio:
- Risk-free asset earning 13% per year.
- Risky asset with expected return of 28% per year and standard deviation of 36%.
If you construct a portfolio with a standard deviation of 26%, what is its expected rate of return?
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
