Question
You are trying to build the best possible risky portfolio for your investment clients. You have two risky assets available to you: A risky stock
You are trying to build the best possible risky portfolio for your investment clients. You have two risky assets available to you: A risky stock with an expected return of 0.107 and a standard deviation of 0.18, and a risky bond with an expected return of 0.069, and a standard deviation of 0.981. If these two assets have a coefficient of correlation of 0.31, what proportion of the money you invest in risky assets should you put in the stock? An answer of 0 means invest no money in the stock, an answer of 1 means put all of your money in the stock.
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