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Now use the Optimal Portfolio template. Make the market the same as in the previous questions: SP500 returns 10% on average with 20% standard deviation, the TBond earns 5% on average with 10% standard deviation, and the SP500 and TBond are 10% correlated. With risk aversion parameter lambda set to 5, what is the return on the optimal portfolio? Now use the Optimal Portfolio template. Make the market the same as in the previous questions: SP500 returns 10% on average with 20% standard deviation, the TBond earns 5% on average with 10% standard deviation, and the SP500 and TBond are 10% correlated. With risk aversion parameter lambda set to 5, what is the return on the optimal portfolio?
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Related Book For
Intermediate Financial Management
ISBN: 978-1111530266
11th edition
Authors: Eugene F. Brigham, Phillip R. Daves
Posted Date:
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