Question
Suppose the correlation coefficient between the rates of return on Knowlode Mutual Fund and the market portfolio is 0.8. The standard deviations of the rates
Suppose the correlation coefficient between the rates of return on Knowlode Mutual Fund and the market portfolio is 0.8. The standard deviations of the rates return are 0.25 for Knowlode and 0.20 for the market portfolio. How would you combine the Knowlode fund and the riskless asset to obtain a portfolio with a relative systematic risk (beta) of 1.6?
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Introductory Course On Financial Mathematics
Authors: M V Tretyakov
1st Edition
1908977388, 978-1908977380
