Question: Asset E(R) 12% Std. deviation 40% 50% 20% Your optimal risky portfolio formed with the two stocks above (A and B) has an expected return
Asset E(R) 12% Std. deviation 40% 50% 20% Your optimal risky portfolio formed with the two stocks above (A and B) has an expected return of 16% and a standard deviation of 32%. The risk-free rate is 4% and you have a risk-aversion parameter of 3. What is the proportion of your investment in A, B, and the risk-free asset, respectively, in your final portfolio? 53.3%; 17.8%; 28.9% 56.9%; 14.2%; 28.9% OB. 37.5%; 12.5%, 50.0% . 17.9%; 6.0%; 76.1% OD. OE 21.7%; 7.2%; 71.1%
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