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You are given the following information from your boss: Stock Bond E(r.) - Port Stan. Dev. Sharpe Ratio 100% 0% 8.00% 15.00% 0.400 80% 20%
You are given the following information from your boss:
Stock | Bond | E(r.) - Port | Stan. Dev. | Sharpe Ratio | |
100% | 0% | 8.00% | 15.00% | 0.400 | |
80% | 20% | 7.20% | 12.70% | 0.409 | |
60% | 40% | 6.40% | 11.01% | 0.399 | |
40% | 60% | 5.60% | 10.25% | 0.351 | |
20% | 80% | 4.80% | 10.62% | 0.264 | |
0% | 100% | 4.00% | 12.00% | 0.167 | |
Min Var. | 36.36% | 63.64% | 5.45% | 10.23% | 0.338 |
Optimal | 77.2% | 22.8% | 7.09% | 12.42% | 0.410 |
The information was calculated assuming a 2% risk free rate and a 0.20 correlation co-efficient.
Assume your client would like to earn 6% on her money. What will the weighting of the bonds in your clients 6% returning portfolio? Answer in percentages with 1 decimal point.
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