== (a) A portfolio of risky assets has parameters a = 1, b = 3, c...

 

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== (a) A portfolio of risky assets has parameters a = 1, b = 3, c = 10. Find the feasible set in the o-plane. (i) A riskless asset with rate of return ro = 2 units for both lending and borrowing is added to the portfolio. Find the capital market line. (ii) State the one fund theorem in terms of the market portfolio PM. Prove that t=1/(baro). Use this result to find M and M. (iii) Determine the allocation to the riskless and risky assets of an investor with a risk aversion parameter t = 1/5. == (a) A portfolio of risky assets has parameters a = 1, b = 3, c = 10. Find the feasible set in the o-plane. (i) A riskless asset with rate of return ro = 2 units for both lending and borrowing is added to the portfolio. Find the capital market line. (ii) State the one fund theorem in terms of the market portfolio PM. Prove that t=1/(baro). Use this result to find M and M. (iii) Determine the allocation to the riskless and risky assets of an investor with a risk aversion parameter t = 1/5.