Question: Consider the following data for assets A and B: E[ ra] = 9%, E [r] = 15%, 2A = 0.24, 2B = 0.54, AB =

Consider the following data for assets A and B: E[ ra] = 9%, E [r] = 15%, 2A = 0.24, 2B = 0.54, AB = 0.5 Assume that only the riskless asset and assets A and B are available in the market lfrf-3%, what is the composition of the market portfolio (ie, the optimal portfolio of risky assets)? What riskless rate would cause the investor to hold none of asset A

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