Question: I need help with this questions, thanks! Given: - The CAPM may or may not hold - The market has an expected return of 10%

I need help with this questions, thanks!

I need help with this questions, thanks! Given: - The CAPM may

Given: - The CAPM may or may not hold - The market has an expected return of 10% - The market has a standard deviation of 40% - The tangency portfolio has an expected return of 12% - The tangency portfolio has a standard deviation of 30% - Apple makes up 12% of the market and is also part of the tangency portfolio - Apple has a standard deviation of 20% Vienna has mean-variance preferences and access to the risk free asset and has constructed an optimal portfolio with a standard deviation of 60%. The weight of Apple in Vienna's portfolio is 16%. What is the weight of Apple in the tangency portfolio? 2% 4% O (16/3)% 8% 12% 16% 32% Greater than 32% None of the above (but there is enough information to compute the answer) Not enough information to compute the

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!