Question: Two assets A and B. Expected Return for A = 10%, for B = 30% Variance for A = 400%2 B = 3600%2 Covariance between

Two assets A and B. Expected Return for A = 10%, for B = 30% Variance for A = 400%2 B = 3600%2 Covariance between A and B = - 0.05 T-bill Return = 5%, SD = 0% A = 5.0 (risk-aversion)

1. slope of CAL

2. how much will the investor invest in A, B, and T-bill?

3. draw a frontier for A and B, CAL, and indifference curve to show the optimal complete portfolio. show the GMVP, P, and opportunity set (asset A, B, GMVP)

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