Only three types of assets are traded on the market:
asset
Expected Return
Standard deviation
A
10%
20%
B
20%
40%
C
5%
0%
The 'reasonable investor' I has 10,000 funds.
The level of risk pursued by investor I is 25% volatility.
1)If this investor invested 3,000 in A, 5,000 in B, and 2,000 in C,
what is the standard deviation of the market portfolio? Mark to the
second decimal place.
2)This time, let's say that rational investor P has 8,000 funds and
pursues a risk level of 15%. What percentage will this
investor invest in the market portfolio?
3)This time, let's say that rational investor Q has 12,000 funds
and pursues a risk level of 40%.
How much would you invest in each asset?
Write the amount of investment in risk-free assets, A, B, and C in
order of natural numbers.
Only three types of assets are traded on the market: asset Expected Return Standard deviation A 10% 20% B 20% 40% C 5% 0
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