Question
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.
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