Question
The expected return of the market portfolio is 14% with a standard deviation of 25%.The risk-free rate is 6%.What would be the weight of the
The expected return of the market portfolio is 14% with a standard deviation of 25%.The risk-free rate is 6%.What would be the weight of the market portfolio in an efficient portfolio with a standard deviation of 30%, if borrowing is not allowed?
a) 16.78%
b.20%
c.83.33%
d.Cannot be constructed
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
