Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

You put 70% of your money in a stock portfolio that has an expected return of 11.75% and a standard deviation of 28%. You put

You put 70% of your money in a stock portfolio that has an expected return of 11.75% and a standard deviation of 28%. You put the rest of the money in a risky bond portfolio that has an expected return of 2.65% and a standard deviation of 12%. The stock and bond have a corrleation of 0.33. Assume the risk free rate is 1.75%. What is the bond weight in the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio?

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

Personal Finance

Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes

8th Edition

007322359X, 9780073223599

More Books

Students also viewed these Finance questions

Question

Understand how HRM can support a sustainable competitive advantage.

Answered: 1 week ago

Question

Develop knowledge of the Italian entrepreneurial business context.

Answered: 1 week ago