Suppose only four assets A, B, C and F are being traded in the market. Asset В C Return RA RB Rc RF Expected 14% 8% 20% 5% Return Variance of 0.36% 0.09% 2.25% 0% Return An efficient portfolio with an expected return of 7% is formed by A, B, C and F. The weights of A, B, C and F are 16.09%, 1.15%, 3.45% and 79.31%, respectively.
Suppose only four assets A, B, C and F are being traded in the market. Asset В C Return RA RB Rc RF Expected 14% 8% 20% 5% Return Variance of 0.36% 0.09% 2.25% 0% Return An efficient portfolio with an expected return of 7% is formed by A, B, C and F. The weights of A, B, C and F are 16.09%, 1.15%, 3.45% and 79.31%, respectively.
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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efficient portfolio
Transcribed Image Text:Suppose only four assets A, B, C and F are being traded in the market.
Asset
A
B
C
Return
RA
RB
Rc
RF
Expected
14%
8%
20%
5%
Return
Variance of
0.36%
0.09%
2.25%
0%
Return
An efficient portfolio with an expected return of 7% is formed by A, B, C and F. The weights
of A, B, C and F are 16.09%, 1.15%, 3.45% and 79.31%, respectively.
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