Question: Opportunity Set Table Sharpe Ratio W ( NFLX ) W ( AAPL ) R (P) Var (P) St. Dev. (P) 0.3443 1 0 4.36% 0.01458
| Opportunity Set Table | |||||
| Sharpe Ratio | W ( NFLX ) | W ( AAPL ) | R (P) | Var (P) | St. Dev. (P) |
| 0.3443 | 1 | 0 | 4.36% | 0.01458 | 12.08% |
| 0.3516 | 0.9 | 0.1 | 4.12% | 0.01245 | 11.16% |
| 0.3584 | 0.8 | 0.2 | 3.89% | 0.01060 | 10.29% |
| 0.3635 | 0.7 | 0.3 | 3.66% | 0.00903 | 9.51% |
| 0.3657 | 0.6 | 0.4 | 3.42% | 0.00776 | 8.81% |
| 0.3632 | 0.5 | 0.5 | 3.19% | 0.00677 | 8.23% |
| 0.3537 | 0.4 | 0.6 | 2.95% | 0.00606 | 7.79% |
| 0.3354 | 0.3 | 0.7 | 2.72% | 0.00564 | 7.51% |
| 0.3080 | 0.2 | 0.8 | 2.49% | 0.00551 | 7.42% |
| 0.2727 | 0.1 | 0.9 | 2.25% | 0.00566 | 7.52% |
| 0.2327 | 0 | 1 | 2.02% | 0.00610 | 7.81% |
| 0.3657 | 0.6 | 0.4 | 3.42% | 0.00776 | 8.81% |
| 0.200% | 0% | ||||
Based on the following tables and graph, how should the investor split their funds between Rf security and ORP portfolio to achieve their final combination return of 2.0%? Note that Rf = 0.2%
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