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Use the below portfolio. Assume that your degree of risk aversion increase from 6 to 8. Then, in the risky portfolio which has the highest
Use the below portfolio. Assume that your degree of risk aversion increase from 6 to 8. Then, in the risky portfolio which has the highest sharp ratio (the tangency portfolio), the weight of asset A will ?
a) increase
b) The weight of asset a and b will stay the same
c) The weight of asset A will change. However, there is not enough information to decide whether the weight will increase or decrease.
d) decrease
You need to form a portfolio using two risky assets Asset E(R) Sigma Asset A 12% 18% Asset B 17% 25% The correlation coefficient between Asset A and Asset B is 0.25 You need to form a portfolio using two risky assets Asset E(R) Sigma Asset A 12% 18% Asset B 17% 25% The correlation coefficient between Asset A and Asset B is 0.25Step by Step Solution
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