A market consists of a risk-free asset with return 4% and two risky assets, A and B,

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A market consists of a risk-free asset with return 4% and two risky assets, A and B, with risk 10% and 20% respectively. The returns of the assets are independent.

The tangent portfolio has weights (0, 0.6, 0.4).

a) Calculate the risk of the tangent portfolio.

b) Find the portfolio on the efficient frontier with risk 8%.

c) In part b, if the investor has $ 10,000, explain his investment strategy

d) Suppose asset A has return 10% and asset B has return 5%. Find the portfolio on the efficient frontier with return 6%.

Related Book For answer-question

Accounting Theory Conceptual Issues in a Political and Economic Environment

ISBN: 978-1412991698

8th edition

Authors: Harry Wolk, James Dodd, John Rozycki

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Posted Date: Nov 01, 2020 02:15 AM

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A market consists of a risk-free asset with return 4% and two risky assets, A and B,

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Stepbystep explanation a Risk of tangent portfolio Risk of Asset A2Weight of A2 Risk of Asset B2Weig... View the full answer

Accounting Theory Conceptual Issues in a Political and Economic Environment

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