Fund X has an expected return of 23% and a standard deviation of 33%. Fund Y...
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Fund X has an expected return of 23% and a standard deviation of 33%. Fund Y has an expected return of 11% and a standard deviation of 14%. The correlation coefficient between the two funds is 0.45. T-bills yield 2%. (Enter decimals. Round your answers to 2 decimal places. (e.g., 1.5673 would be entered as 1.57)) a) Assuming these are the only two risky securities available, find the Sharpe Ratio of the optimal risky portfolio. Sharpe Ratio b) If an investor is seeking an expected return of 20% in the long run, how much should he or she be allocating to the optimal risky portfolio? Weight of the risky portfolio Fund X has an expected return of 23% and a standard deviation of 33%. Fund Y has an expected return of 11% and a standard deviation of 14%. The correlation coefficient between the two funds is 0.45. T-bills yield 2%. (Enter decimals. Round your answers to 2 decimal places. (e.g., 1.5673 would be entered as 1.57)) a) Assuming these are the only two risky securities available, find the Sharpe Ratio of the optimal risky portfolio. Sharpe Ratio b) If an investor is seeking an expected return of 20% in the long run, how much should he or she be allocating to the optimal risky portfolio? Weight of the risky portfolio
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Related Book For
Corporate Finance A Focused Approach
ISBN: 978-1439078082
4th Edition
Authors: Michael C. Ehrhardt , Eugene F. Brigham
Posted Date:
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