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Two risky assets: A and B. The expected return for A is 10% and for B 30%. The variance for returns for A is 400(%2) and for B is 3600(%2). The covariance between A and B returns is -0.05. T-bills give a return of 5% with a standard deviation of 0%. The investor has a risk aversion index, A=5.0. Show all work.    1. calculate the correlation between A and B

Two risky assets: A and B. The expected return for A is 10% and for B 30%. The variance for returns for A is 400(%2) and for B is 3600(%2). The covariance between A and B returns is -0.05. T-bills give a return of 5% with a standard deviation of 0%. The investor has a risk aversion index, A=5.0. Show all work.    1. calculate the correlation between A and B

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
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Two risky assets: A and B.

The expected return for A is 10% and for B 30%.

The variance for returns for A is 400(%2) and for B is 3600(%2).

The covariance between A and B returns is -0.05.

T-bills give a return of 5% with a standard deviation of 0%.

The investor has a risk aversion index, A=5.0. Show all work. 

 

1. calculate the correlation between A and B

2. calculate portfolio return / standard deviation for global mvp

3. optical risky portfolio, P (expected return and SD)

4. slope of CAL

5. how much will the investor invest (A=4) in T-bills, assets A and B?

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