Question
Suppose that you have $1 million and the following two opportunities from which to construct a portfolio: a. Risk-free asset earning 12% per year. b.
Suppose that you have $1 million and the following two opportunities from which to construct a portfolio:
a. Risk-free asset earning 12% per year.
b. Risky asset with expected return of 30% per year and standard deviation of 40%.
If you construct a portfolio with a standard deviation of 30%, what is its expected rate of return?
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Financial Management Theory And Practice
Authors: Eugene Brigham, Michael Ehrhardt, Jerome Gessaroli, Richard Nason
3rd Canadian Edition
017658305X, 978-0176583057
