The table below contains expected annual returns for funds A and B. Assuming that the risk free
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The table below contains expected annual returns for funds A and B. Assuming that the risk free rate is 2.41% and that the correlation of returns between funds A and B is 0.21
Expected Ret. - E(r) Fund A is 10.9% Fund B is 9.7%
Standard Deviation - σ Fund A is 15.6% and Fund B is 12.6%
Calculate the weight of Fund A in the Optimal two-risky asset portfolio comprised of funds A and B.
Related Book For
Modern Portfolio Theory and Investment Analysis
ISBN: 978-1118469941
9th edition
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
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