ean Return andard Deviation rrelation etimal Portfolio mean return timal Portfolio variance timal Portfolio standard deviation ABC 16.50% 18.00% ptimal Risky Portfolio P_optimal with 40% ABC and 60% XYZ eight of ABC eight of XYZ 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 eight of the optimal risky portfolio P_optimal Return 40% 60% XYZ Porfolio P2 Mean 0.18 new portfolio P2 with the risk-free asset and the optimal risky portfolio P_optimal. Portfolio P2 Standard Deviation 9.50% 10.00% Get Formula T-bill) 2.50% 0 0 Get Formula Sharpe Ratio of P2 Get Formula
ean Return andard Deviation rrelation etimal Portfolio mean return timal Portfolio variance timal Portfolio standard deviation ABC 16.50% 18.00% ptimal Risky Portfolio P_optimal with 40% ABC and 60% XYZ eight of ABC eight of XYZ 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 eight of the optimal risky portfolio P_optimal Return 40% 60% XYZ Porfolio P2 Mean 0.18 new portfolio P2 with the risk-free asset and the optimal risky portfolio P_optimal. Portfolio P2 Standard Deviation 9.50% 10.00% Get Formula T-bill) 2.50% 0 0 Get Formula Sharpe Ratio of P2 Get Formula
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:Mean Return
Standard Deviation
Correlation
Optimal Portfolio mean return
Optimal Portfolio variance
Optimal Portfolio standard deviation
ABC
16.50%
18.00%
Optimal Risky Portfolio P_optimal with 40% ABC and 60% XYZ
weight of ABC
weight of XYZ
Weight of the optimal risky portfolio P_optimal Return
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
XYZ
40%
60%
0.18
9.50%
10.00%
A new portfolio P2 with the risk-free asset and the optimal risky portfolio P_optimal.
Porfolio P2 Mean
Portfolio P2 Standard
Deviation
Get Formula
Risk-free asset (3-month
T-bill)
2.50%
0
0
Get Formula
Sharpe Ratio of
P2
Get Formula
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