Question
The return data for ARK Innovation ETF (ARKK) is used for the project. Here is some additional information about the fund and the market portfolio.
The return data for ARK Innovation ETF (ARKK) is used for the project. Here is some additional information about the fund and the market portfolio.
ARKK Rm Rf Average Ret
3.945 1.520 0.089
Std
9.061 4.582
In order to find M2 for the fund, we need to construct an adjusted portfolio P* investing in the combination of the risk-free asset and the fund. What should be the weight on the fund in the adjusted portfolio?
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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
