0.08,42 Problem 10.19 Consider 4 risky assets with expected rates of return = 0.1, 3=...
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0.08,42 Problem 10.19 Consider 4 risky assets with expected rates of return μ₁ = 0.1, 3= 0.05, 4 = 0.02, variances of = 0.03, o2 = 0.04, 03 0.02, 2 = 0.006 and covariances 12 0.001,013 -0.002, 014 = -0.004, 023 = -0.0002, 024 = 0,034 = -0.005. There is a risk-free asset with rate of return r = 0.015. (i) Find the risky fund M which can be combined with the risk-free asset. (ii) Find the combined portfolio that will give you the best expected rate of return for a given risk (defined by the std of the combined portfolio) of oc= 0.03. Calculate the expected rate of return. - 0.08,42 Problem 10.19 Consider 4 risky assets with expected rates of return μ₁ = 0.1, 3= 0.05, 4 = 0.02, variances of = 0.03, o2 = 0.04, 03 0.02, 2 = 0.006 and covariances 12 0.001,013 -0.002, 014 = -0.004, 023 = -0.0002, 024 = 0,034 = -0.005. There is a risk-free asset with rate of return r = 0.015. (i) Find the risky fund M which can be combined with the risk-free asset. (ii) Find the combined portfolio that will give you the best expected rate of return for a given risk (defined by the std of the combined portfolio) of oc= 0.03. Calculate the expected rate of return. -
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Related Book For
Applied Statistics and Probability for Engineers
ISBN: 978-1118539712
6th edition
Authors: Douglas C. Montgomery, George C. Runger
Posted Date:
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