wel spend more than 7 minutes on a sub-question 12 Assume a world in which the assumptions of portfolio theory hold. In

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Wel Spend More Than 7 Minutes On A Sub Question 12 Assume A World In Which The Assumptions Of Portfolio Theory Hold In 1 (23.06 KiB) Viewed 46 times

wel spend more than 7 minutes on a sub-question 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 Ais 5.0% and of Bit is 11.0%. The correlation coefficient between the returns of A and B is 0.5. XlXg) represents the fraction of a portfolio invested in security A (B). The expected return of the minimum-risk portfolio of risk-bearing securities (MRP) is 100%. 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 Answer