Two investors hold portfolios with the following allocations:

Investor A: Bonds 20% & Stocks 80%

Investor B: Bonds 30% & Stocks 70%

Assuming all else is equal (same expected returns, volatilities, correlations, risk-free rate, and investment horizon), are these managers holding mean-variance efficient portfolios? Does this change if they did not have the risk-free asset?

Answer rating: 100% (QA)

To determine if the portfolios held by Investor A and Investor B are meanvariance efficient we need to assess whether any other portfolio with the sam... View the full answer