You currently have 50% of your wealth invested in a risk-free asset and 50% in the four assets below Asset i 1 2 3 4 Expected Return on Asset i (%) 7.6 12.4 15.6 18.8 0.2 0.8 Bi 21.3 1.6 Percentage invested in Asset i (%) 10 10 10 20 If you want an expected rate of return of 12%, you can obtain it by selling some of your holdings of the risk-free asset and using the proceeds to buy the equally weighted market portfolio. If this is the way you decide to revise your portfolio, what will the rest of weights in your portfolio be? If you hold only the risk-free asset and the market portfolio, what set of weights would give you an expected return of 12%?
You currently have 50% of your wealth invested in a risk-free asset and 50% in the four assets below Asset i 1 2 3 4 Expected Return on Asset i (%) 7.6 12.4 15.6 18.8 0.2 0.8 Bi 21.3 1.6 Percentage invested in Asset i (%) 10 10 10 20 If you want an expected rate of return of 12%, you can obtain it by selling some of your holdings of the risk-free asset and using the proceeds to buy the equally weighted market portfolio. If this is the way you decide to revise your portfolio, what will the rest of weights in your portfolio be? If you hold only the risk-free asset and the market portfolio, what set of weights would give you an expected return of 12%?
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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