An investor holds some combination of the market (tangent) portfolio and a risk-free asset. Suppose that the
Fantastic news! We've Found the answer you've been seeking!
Question:
An investor holds some combination of the market (tangent) portfolio and a risk-free asset. Suppose that the market (tangent) portfolio has an expected return of 0.12 and a standard deviation of 0.17. The risk-free rate is 3%. If the expected return of the portfolio held by the investor is 0.06, what is the standard deviation (risk) of this portfolio?
Related Book For
Algebra And Trigonometry Graphs And Models
ISBN: 9780134179049
6th Edition
Authors: Marvin Bittinger, Judith Beecher, David Ellenbogen, Judith Penna
Posted Date: