Question
Your portfolio consists of the following assets: Asset D Asset E T-Bills E[R] 0.07 0.16 0.02 risk (std dev) 0.14 0.21 Where E[R] is the
Your portfolio consists of the following assets:
| Asset D | Asset E | T-Bills | |
| E[R] | 0.07 | 0.16 | 0.02 |
| risk (std dev) | 0.14 | 0.21 |
Where E[R] is the excess return of the asset, and all values are expressed in decimal form. The covariance between E and D is -0.001.
What weight of D is required to obtain the optimal risky portfolio?
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Investments An Introduction
Authors: Herbert B Mayo
9th Edition
324561385, 978-0324561388
