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2. Two assets A and B are made to regressed against the return of a market portfolio Rw. The results are as follow: RA =
Posted: Tue Nov 23, 2021 8:52 am
by answerhappygod
- 2 Two Assets A And B Are Made To Regressed Against The Return Of A Market Portfolio Rw The Results Are As Follow Ra 1 (20.49 KiB) Viewed 91 times
2. Two assets A and B are made to regressed against the return of a market portfolio Rw. The results are as follow: RA = (0.04 + (0,8RM Rg= -0.02 +1.8RM It is given that E(R) = 18% and on = 30%. The capital R means excess return. (a) (5 points) Under the utility function U(X) = E(rx) - 0.5Aož, find the range of values of A such that asset A is better than aset B. (b) (3 points) Form an optimal risky portfolio using only asset A and B. State the proportion of A and B in the portfolio (e) (2 points) Find the total covariance of between the optimal risky portfolio and the market portfolio.