Ay 2. You have the following information: - ADCB stock has an average return of 8.5% and a standard deviation of 18.5% - ADIB stock has an average return of 16.5% and a standard deviation of 22.5% - The correlation between ADCB and ADIB is -30% - The risk-free rate is equal to 5% Assume the optimal risky portfolio has a return of 13.11% and a standard deviation of 12.99%. Your risk aversion degree is equal to 7. What would be the weight (y) that you invest in the optimal risky portfolio?
Ay 2. You have the following information: - ADCB stock has an average return of 8.5% and a standard deviation of 18.5% - ADIB stock has an average return of 16.5% and a standard deviation of 22.5% - The correlation between ADCB and ADIB is -30% - The risk-free rate is equal to 5% Assume the optimal risky portfolio has a return of 13.11% and a standard deviation of 12.99%. Your risk aversion degree is equal to 7. What would be the weight (y) that you invest in the optimal risky portfolio?
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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Ay 2.
You have the following information:
- ADCB stock has an average return of 8.5% and a standard deviation of 18.5%
- ADIB stock has an average return of 16.5% and a standard deviation of 22.5%
- The correlation between ADCB and ADIB is -30%
- The risk-free rate is equal to 5%
Assume the optimal risky portfolio has a return of 13.11% and a standard deviation of 12.99%. Your risk aversion degree is equal to 7. What would be the weight (y) that you invest in the optimal risky portfolio?
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