Question: Find the expected return and standard deviation of the efficient Market portfolio, assuming that CAPM holds and that the iskless rate Rf=2.1%. Find the expected

Find the expected return and standard deviation of the efficient Market

Find the expected return and standard deviation of the efficient Market portfolio, assuming that CAPM holds and that the iskless rate Rf=2.1%. Find the expected return and standard deviation of the complete portfolio for an investor with risk aversion index A=5. What fraction of his/her fund will the investor invest in risky portfolio. 0.059438 u= -0.019514 0.028503 0.093015 0.018168 0.003978 0.002011 0.002044 0.002684 0.002674 V= 0.002011 0.004059 0.002044 0.000998 0.001862 0.002044 0.002044 0.00643 0.000821 0.001852 0.002684 0.000998 0.000821 0.007091 0.00272 0.002674 0.001862 0.001852 0.00272 0.006001 rf is 2.1% 0.00175 for RF 2.1% weight 17.62562 -2.90749 -15.4190 2.543486 4.142193 -0.68329 10.46162 -1.72573 -6.062135 1 10.75 -1.77 mu-rf Z weight 0.057688 17.50135 -2.85623 -0.02126 -15.6679 2.557004 0.026753 4.023561 -0.65665 9.13% 1033.57% -1.68679 0.016418 -6.12744 1 10.07 -1.64 ER Var STDEV -0.38428 0.06339 0.2518 -0.37711 0.061076 0.247135 Find the expected return and standard deviation of the efficient Market portfolio, assuming that CAPM holds and that the iskless rate Rf=2.1%. Find the expected return and standard deviation of the complete portfolio for an investor with risk aversion index A=5. What fraction of his/her fund will the investor invest in risky portfolio. 0.059438 u= -0.019514 0.028503 0.093015 0.018168 0.003978 0.002011 0.002044 0.002684 0.002674 V= 0.002011 0.004059 0.002044 0.000998 0.001862 0.002044 0.002044 0.00643 0.000821 0.001852 0.002684 0.000998 0.000821 0.007091 0.00272 0.002674 0.001862 0.001852 0.00272 0.006001 rf is 2.1% 0.00175 for RF 2.1% weight 17.62562 -2.90749 -15.4190 2.543486 4.142193 -0.68329 10.46162 -1.72573 -6.062135 1 10.75 -1.77 mu-rf Z weight 0.057688 17.50135 -2.85623 -0.02126 -15.6679 2.557004 0.026753 4.023561 -0.65665 9.13% 1033.57% -1.68679 0.016418 -6.12744 1 10.07 -1.64 ER Var STDEV -0.38428 0.06339 0.2518 -0.37711 0.061076 0.247135

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