Assume we have one risk-free asset ( = 0.05) and two risky assets (# = 0.3,...
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Assume we have one risk-free asset (µƒ = 0.05) and two risky assets (#₁ = 0.3, μ2 = 0.6, 01 = 0.15, 02 = 0.25, 01,2 = 0). Please calculate (1) sharpe ratio for the two risky assets and indicate which one is better; (2) given σ= 0.2 is the standard deviation we aim for, the best allocation proportion w between the first risky asset and risk-free asset; (3) given o = 0.2 is the standard deviation we aim for, the best allocation proportion w between two risky assets; (4) given σ = 0.25 is the standard deviation we aim for, the best allocation proportion w and wr between two risky asset and risk-free asset. Assume we have one risk-free asset (µƒ = 0.05) and two risky assets (#₁ = 0.3, μ2 = 0.6, 01 = 0.15, 02 = 0.25, 01,2 = 0). Please calculate (1) sharpe ratio for the two risky assets and indicate which one is better; (2) given σ= 0.2 is the standard deviation we aim for, the best allocation proportion w between the first risky asset and risk-free asset; (3) given o = 0.2 is the standard deviation we aim for, the best allocation proportion w between two risky assets; (4) given σ = 0.25 is the standard deviation we aim for, the best allocation proportion w and wr between two risky asset and risk-free asset.
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