A portfolio analyst has been asked to allocate investment funds among three different stocks. The relevant data for the stocks is shown in the following table. If the goal is to minimize risk while maintaining a return of at least 12%, find the proper allocation of the funds to each stock. Stock Return (R) Risk (Standard Deviation - S) Pair of Stocks Joint Risk (Covariance) A 0.22 0.26 A-B 0.05 B 0.16 0.12 A-C 0.05 C 0.09 0.08 B-C 0.03 What are the optimal values of investment in each stock? Note: Round your answers to three decimal places. What is the optimal value of risk (expressed as standard deviation)? Use your rounded answers for XA, xB and xC. Note: Round your answer to 2 decimal places and enter your answer as a percentag 10:27 pm
A portfolio analyst has been asked to allocate investment funds among three different stocks. The relevant data for the stocks is shown in the following table. If the goal is to minimize risk while maintaining a return of at least 12%, find the proper allocation of the funds to each stock. Stock Return (R) Risk (Standard Deviation - S) Pair of Stocks Joint Risk (Covariance) A 0.22 0.26 A-B 0.05 B 0.16 0.12 A-C 0.05 C 0.09 0.08 B-C 0.03 What are the optimal values of investment in each stock? Note: Round your answers to three decimal places. What is the optimal value of risk (expressed as standard deviation)? Use your rounded answers for XA, xB and xC. Note: Round your answer to 2 decimal places and enter your answer as a percentag 10:27 pm
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:A portfolio analyst has been asked to allocate
investment funds among three different stocks. The
relevant data for the stocks is shown in the following
table. If the goal is to minimize risk while maintaining
a return of at least 12%, find the proper allocation of
the funds to each stock.
Stock Return (R) Risk (Standard Deviation - S) Pair of
Stocks Joint Risk (Covariance)
A 0.22 0.26 A-B 0.05
B 0.16 0.12 A-C 0.05
C 0.09 0.08 B-C 0.03
What are the optimal values of investment in each
stock?
Note: Round your answers to three decimal places.
What is the optimal value of risk (expressed as
standard deviation)? Use your rounded answers for
XA, xB and xC.
Note: Round your answer to 2 decimal places and
enter your answer as a percentag
10:27 pm
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