Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You have performed the XXXX optimization on a portfolio with 3 assets whose risk/return characteristics are summarized in the table below: Asset 1 Asset 2

You have performed the XXXX optimization on a portfolio with 3 assets whose risk/return characteristics are summarized in the table below:

Asset 1

Asset 2

Asset 3

E[r]

5.00%

10.00%

15.00%

s.d.

10.00%

15.00%

20.00%

The bordered matrix for the optimal risky portfolio based on these three assets is given below:

Bordered matrix

W1

W2

W3

-1.522

1.585

0.938

W1

-1.522

0.0232

-0.0261

-0.0044

W2

1.585

-0.0261

0.0565

-0.0033

W3

0.938

-0.0044

-0.0033

0.0352

1)Find the optimal risky portfolios expected return. Express your answer as a percentage with 3 digits after the decimal point.

2)Find the optimal risky portfolios standard deviation return. Express your answer as a percentage with 3 digits after the decimal point.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Debunked An Auditor Reviews The 2020 Election And The Lessons Learned

Authors: Joseph Fried

1st Edition

1645720756, 978-1645720751

More Books

Students also viewed these Accounting questions

Question

What is the basic format of a SCF? Prepare a model format.

Answered: 1 week ago