There are two risky assets and a riskfree asset. The riskfree rate is 0.03. The first risky asset has expected rate of return 0.18 and standard deviation 0.3; the second risky asset 0.09 and 0.2. Their correlation is 0.1. A portfolio on the best feasible CAL has an expected return of 0.12. Then this portfolio's portfolio weight on the first risky asset is 0%. (Enter a percentage number and keep 3 decimal places).
There are two risky assets and a riskfree asset. The riskfree rate is 0.03. The first risky asset has expected rate of return 0.18 and standard deviation 0.3; the second risky asset 0.09 and 0.2. Their correlation is 0.1. A portfolio on the best feasible CAL has an expected return of 0.12. Then this portfolio's portfolio weight on the first risky asset is 0%. (Enter a percentage number and keep 3 decimal places).
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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![There are two risky assets and a riskfree asset. The riskfree rate is
0.03. The first risky asset has expected rate of return 0.18 and
standard deviation 0.3; the second risky asset 0.09 and 0.2. Their
correlation is 0.1.
A portfolio on the best feasible CAL has an expected return of 0.12.
Then this portfolio's portfolio weight on the first risky asset is
0%. (Enter a percentage number and keep 3 decimal
places).](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6b477c55-c6ec-4324-8bf3-cfe0ccde6cbf%2Fbd02eb82-1743-4a2b-a087-90ad36c706a2%2Fqpe1u0o_processed.png&w=3840&q=75)
Transcribed Image Text:There are two risky assets and a riskfree asset. The riskfree rate is
0.03. The first risky asset has expected rate of return 0.18 and
standard deviation 0.3; the second risky asset 0.09 and 0.2. Their
correlation is 0.1.
A portfolio on the best feasible CAL has an expected return of 0.12.
Then this portfolio's portfolio weight on the first risky asset is
0%. (Enter a percentage number and keep 3 decimal
places).
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