Question: Security Expected Return Standard Deviation A 12% 24% B 20% 40% T-Bills 4% 0% The correlation coefficient between securities A and B is -0.30. 1.Find

Security

Expected Return

Standard Deviation

A

12%

24%

B

20%

40%

T-Bills

4%

0%

The correlation coefficient between securities A and B is -0.30.

1.Find the Expected Return and Standard Deviation of the Optimal Risky portfolio?

2.If an investor has a risk aversion factor of 4, what will the Expected Return and Standard Deviation of their portfolio be?

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