Consider the following two investment opportunities: a stock fund and a bond fund with E(r S )=0.20,
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Question:
Consider the following two investment opportunities: a stock fund and a bond fund with E(rS)=0.20, σS=0.3, E(rB)=0.12, σB=0.15.
The correlation coefficient between the two funds is 0.10. The risk-free rate is 0.08.
You know that the slope of the optimal capital allocation line is 0.460.
If you require an expected rate of return of 0.22 on your investment on this optimal CAL, calculate the standard deviation of your portfolio.
(Please round your answer to the nearest third decimal place.)
Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
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