Max E(U)= E(rc)-.5A o² (rc) y* E(rp)-r Ασ, What if A4, then y*= E(r) = σ(rd) = w

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
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Risky asset P (an index fund) and risk-free asset F (T-Bill), form a complete portfolio C using P and F

  • P: E(rP) = 15%, s(rP) = 22%
  • F:  rF = 7%,  s(rF) = 0
Max E(U)= E(rc)-.5A o² (rc)
y*
E(rp)-r
Ασ,
What if A4, then y*=
E(r) =
σ(rd) =
w
Transcribed Image Text:Max E(U)= E(rc)-.5A o² (rc) y* E(rp)-r Ασ, What if A4, then y*= E(r) = σ(rd) = w
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