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The market portfolio has an expected return of 11 percent with a 25 percent volatility. Th

The market portfolio has an expected return of 11 percent with a 25 percent volatility. Th

The market portfolio has an expected return of 11 percent with a 25 percent volatility. The risk-free rate is 5 percent.

a. Investor A with $180,000 has a target expected return of 9 percent. How should he invest his $180,000?

b. What are the volatility and beta of the investor A’s portfolio?

c. Investor B with $200,000 has a target volatility of 30 percent. How should he invest his $200,000?

d. What is the beta of the investor B’s portfolio?

Abhinav 30-Nov-2019

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