Question
There are two risky assets, asset 1 and asset 2 on the market, with the following statistics. E(1) = 0.1, 1 = 0.1, E(2)=0.15, 2
There are two risky assets, asset 1 and asset 2 on the market, with the following statistics. E(1) = 0.1, 1 = 0.1, E(2)=0.15, 2 = 0.2, 12 = -0.2. The return on T-bill is 0.05.
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What is the highest Sharpe ratio on the market if these two assets are the only risky assets traded on the market? What is the corresponding CAL?
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If an investor wants to achieve an expected return of 10%, what is the optimal portfolio composition, i.e., what are the weights of his portfolio in asset 1, asset 2, and Tbill? What is the portfolio standard deviation?
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If an investor wants to maximize his return but takes on a risk of no more than 5%, what is the optimal portfolio composition, i.e., what are the weights of his portfolio in asset 1, asset 2, and Tbill? What is the portfolio expected return?
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The Traffic Trilogy Access To Millions Of Ultra Targeted Visitors For Pennies On The Dollar
Authors: Fred Lam
1st Edition
1530332788, 978-1530332786
