Question: a + b. Given two assets with the following characteristics: E(RX) = 0.09 OA = 0.093 E(Rp) = 0.028 OB = = 0.0218 PA, B

a + b.

Given two assets with the following characteristics: E(RX) = 0.09 OA = 0.093 E(Rp) = 0.028 OB = = 0.0218 PA, B = -0.65052 a. What are the weights of A and B that would yield a minimum variance for the portfolio? What are the expected return, E(RMVP), and standard deviation, OMVP, of this minimum variance portfolio, MVP? (6 marks) o-016 Hints: 0 = (o-20w +) or 0 - PAROO , (o-2000, +0) and w, =l- b. Suppose your client, Mr. X, is risk-averse with coefficient of risk aversion, A, equal to 8. The weights of A and B that would yield an optimal risky portfolio, R. with the highest utility are 0.8113 and 0.1887 respectively. What are the expected return. E(Rx), standard deviation, or, and utility level, Ur, of this optimal risky portfolio, R? (6 marks)

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