Question
Suppose you create an optimal risky portfolio investing 60% into a SP500 ETF, and 40% into a European ETF. This optimal risky portfolio has an
Suppose you create an optimal risky portfolio investing 60% into a SP500 ETF, and 40% into a European ETF. This optimal risky portfolio has an expected return of 10.97% and a volatility of 15.29%, and the risk-free rate is 2.26%.
With your degree of risk aversion, you compute you should invest 61.7% in the optimal risky portfolio, and the rest in the risk-free rate.
In the end, your portfolio will be made of the SP500 ETF, the European ETF, and the risk-free rate. What will be the weight of SP500ETF in your complete portfolio?
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Fundamentals Of Investments Valuation And Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
9th Edition
1260013979, 9781260013979
