There are only three risky assets available in a given market: A, B, and C. The expected
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There are only three risky assets available in a given market: A, B, and C. The expected return of A, B, and C are 10%, 15%, and 18% respectively. The market portfolio has 20% in A, 40% in B, and 40% in C. Other than these three risky assets, there is also a risk-free asset available in this market. The risk-free rate is 2%. Based on your risk aversion, you form an efficient portfolio with 8.6% expected return. What are the weights on A, B, C, and the risk-free asset of your portfolio?
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