Question
Suppose we have the following data on two portfolios, each made up of the same 4 risky assets: Portfolio 1 Portfolio 2 Expected return -10.0%
- Suppose we have the following data on two portfolios, each made up of the same 4 risky assets:
|
| Portfolio 1 | Portfolio 2 |
|
|
|
|
| Expected return | -10.0% | 8.00% |
| Composition (weight on each one of the 4 assets): |
|
|
| Asset 1 | -26% | -7.00% |
| Asset 2 | 9% | 18.00% |
| Asset 3 | 22% | 31.00% |
| Asset 4 | 95% | 58.00% |
The two portfolios are on the MVF of the four risky assets. What is the percentage weight on asset 1 in a third MV portfolio of the same four risky assets if this portfolio is to have an expected return of 1% p.a.?
- -14.39
- -7.00
- +0.39
- +2.00
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Investments Analysis And Management
Authors: Charles Jones, Nick Jones
11th Edition
0470477121, 9780470477120
