Consider three risky assets with the following expected returns and covariance matrix [0.085 0.042 [0.112] H...

  

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Consider three risky assets with the following expected returns and covariance matrix [0.085 0.042 [0.112] H 0.035 0.0005 -0.001] = 0.0005 0.024 0.005 -0.001 0.005 0.031 We assume that the risk-free rate is 11%. What is the optimal percentage weight of the second risky asset for a mean- variance investor with a risk aversion parameter of 10? 5.72% 8.51% 12.37% 21.41% Consider three risky assets with the following expected returns and covariance matrix [0.085 0.042 [0.112] H 0.035 0.0005 -0.001] = 0.0005 0.024 0.005 -0.001 0.005 0.031 We assume that the risk-free rate is 11%. What is the optimal percentage weight of the second risky asset for a mean- variance investor with a risk aversion parameter of 10? 5.72% 8.51% 12.37% 21.41%

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