## Question

# The universe of available securities includes two risky stock funds, A and B and T-Bills. The data for the universe are as follows: The correlation

The universe of available securities includes two risky stock funds, A and B and T-Bills. The data for the universe are as follows:

The correlation coefficient between funds A and B is -0.2

Consider an investor with the utility

a) How much will an investor invest in funds A and B and in the T-Bills?

## A B T-Bills Expected Return 10% 30% 5% Standard Deviation 20% 60% 0% U = E(Rx) - 2.50

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### Financial Accounting A User Perspective

**Authors:** Robert E Hoskin, Maureen R Fizzell, Donald C Cherry

6th Canadian Edition

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