20:59 . . I .. . . 63 Idag Alla bilder . . . 20:58 OLIVE V Fall 2024 Problem Set #2 (Chapters 5, 1, and portions of 11-13) 1. Use the following average returns and standard deviations for Fund A and Fund B to compute the following: 20 points EEM DJIA Average Return 14% 11% Standard Deviation 23% 18% Fund A/Fund B Correlation .21 The average portfolio return at weights 100/0, 80/20, 60/40, 40/60, 20/80 and 0/100 The portfolio standard deviation at each of the above weights . The average risk per return (CV) at each of the above weights - determining which is lowest. Graph an efficient frontier (X-axis representing the 2-asset portfolio average return and the Y-axis representing the 2-asset portfolio standard deviation.at the above weights)..on scratch paper is acceptable. Draw a Capital Allocation Line extending from the Rf Asset return (assume intercepting Y-axis at 4.20%) Determine what the 3-asset portfolio average return and standard deviation would be when investing 20% in the Rf asset and 80% in the 2-asset (EEM and DJIA) portfolio that has the best return/risk weights