Consider an investor who uses the mean-variance model to select his or her optimal portfolio. This investor
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Question:
The investor obtained the following weights of the tangency portfolio: bonds, 55%; and stocks, 45%. The tangency portfolio has an expected return of 6% and a standard deviation of 10%.
Suppose that the investor seeks to have a standard deviation of 2%. Find the optimal dollar investments in:
a. Treasury bills;
b. Bonds; and
c. Stocks.
Related Book For
Microeconomics An Intuitive Approach with Calculus
ISBN: 978-0538453257
1st edition
Authors: Thomas Nechyba
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