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 | 8% | 20% |
| B | 28 | 60 |
| T-bills | 5 | 0 |
The correlation coefficient between funds A and B is -0.2.
b. Find the optimal risky portfolio, P, and its expected return and standard deviation.
c. Find the slope of the CAL supported by T-bills and portfolio P.
d. How much will an investor with A = 5 invest in funds A and B and in T-bills?
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Economics Of Money Banking And Financial Markets
Authors: Frederic Mishkin
10th Global Edition
0273765736, 978-0273765738
