Question
The risk-free interest rate is 6% per year, and the expected rate of return on the tangency portfolio is 15% per year. (a)According to the
The risk-free interest rate is 6% per year, and the expected rate of return on the tangency portfolio is 15% per year.
(a)According to the mean-variance portfolio theory, what is the efficient way for an investor to achieve an expected rate of return of 10% per year?
(b) If the standard deviation of the tangency portfolio is 20%, what is the standard deviation of the above portfolio?
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Financial Institutions Management
Authors: Anthony Saunders
3rd Edition
007303259X, 978-0073032597
