- 12 Assume A World In Which The Assumptions Of Portfolio Theory Hold In This World Only The Two Risky Securities A And B 1 (55.29 KiB) Viewed 33 times
12 Assume a world in which the assumptions of portfolio theory hold. In this world only the two risky securities A and B are traded. The expected return of A is 6.0% and of B it is 11.0%. The correlation coefficient between the returns of A and B is 0.5. XAXg) represents the fraction of a portfolio invested in security A (B). The expected retum of the minimum-risk portfolio of risk-bearing securities (MRP) is 10.0%. What is the XA of the MRP, i.e. the fraction of investor's wealth the investor should invest in A in order to construct the MRP? Round your answer to 2 decimals. (For instance: enter 0.1234 as 0.12). 1.0p 3 Answer