Mr. Tan is a portfolio manager that is interested in incorporating a new share in his portfolio multi-asset portfolio. His portfolio currently holds bonds therefore you are faced with a simple two-asset problem. Assuming a risk-free rate of 6% and the data in the table below:

Data	Share_A	Share_B	Share_C	Bonds
Expected Return	14%	12%	11%	9%
Standard Deviation	13%	15%	11%	3%
Covariance with Bonds	0.003	0.0016	0.0022	NA

Please calculate:

1. The optimal weight in a share versus his current bond holding.

2. The return of the new portfolio (made up of one share and his bond holding).

3. The risk of the new portfolio ((made up of one share and his bond holding).

Answer rating: 100% (QA)

Enter any random weights lets say 05 and 05 for Share B For Share B ... View the full answer