An investment manager has done some calculations for the stock of the Dow Chemical with the following
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An investment manager has done some calculations for the stock of the Dow Chemical with the following results: alpha = -5%, beta = 0.9, and sigma(e) = 25%. The risk-free rate is 6%. The expected return on the S&P 500 is 14% and its standard deviation is 21%. What is the optimal risky portfolio that is formed by the Dow Chemical and the S&P 500? Show your work.
Related Book For
Contemporary Financial Management
ISBN: 9780324289114
10th Edition
Authors: James R Mcguigan, R Charles Moyer, William J Kretlow
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