Question
The universe of available securities includes two risky stock funds, A and B and T-Bills. The data for the universe are as follows: Expected Return
The universe of available securities includes two risky stock funds, A and B and T-Bills. The data for the universe are as follows:
| Expected Return | Standard Deviation | |
| A | 10% | 20% |
| B | 30% | 60% |
| T-Bills | 5% | 0% |
The correlation coefficient between funds A and B is -0.2
a) Find Optimal Portfolio, M. Find the composition of this portfolio in terms of funds A and B.
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Financial Management Theory And Practice
Authors: Prasanna Chandra
8th Edition
0071078401, 978-0071078405
