TO 6x depicts the locatie Theatrets code of the dice de the construction of the optimalisya the action of funds between
Posted: Fri Mar 04, 2022 9:37 am
- To 6x Depicts The Locatie Theatrets Code Of The Dice De The Construction Of The Optimalisya The Action Of Funds Between 1 (19.67 KiB) Viewed 34 times
- To 6x Depicts The Locatie Theatrets Code Of The Dice De The Construction Of The Optimalisya The Action Of Funds Between 2 (37.55 KiB) Viewed 34 times
- To 6x Depicts The Locatie Theatrets Code Of The Dice De The Construction Of The Optimalisya The Action Of Funds Between 3 (37.55 KiB) Viewed 34 times
A universe of securities includes a risky stock (X), a stock-index fund (M), and T-bills. The data for the universe are: Expected Return Standard Deviation Х 15% 50% 10 M T-bills 20 5 0 The correlation coefficient between X and Mis - 2 a. Draw the opportunity set of securities X and M. b. Find the optimal risky portfolio (O), its expected return, standard deviation, and Sharpe ratio. Compare with the Sharpe ratios of X and M. each taken individually. c. Find the slope of the CAL generated by T-bills and portfolio O. d. Suppose an investor places 2/9 (.e., 22.22%) of the complete portfolio in the risky portfolio O and the remainder in T-bills. Calculate the composition of the complete portfolio, its expected return, standard deviation, and Sharpe ratio.