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You invest $10000 in a complete portfolio The complete portfolio is composed of a risky asset with an expected rate of return of 15 and a standard deviation of 21 and a Treasury bill with a rate

You invest $10,000 in a complete portfolio. The complete portfolio is composed of a risky asset with an expected rate of return of 15% and a standard deviation of 21% and a Treasury bill with a rate of return of 5%.

a. The slope of the capital allocation line formed with the risky asset and the risk-free asset is approximately _______.

b. If you want your complete portfolio to have a standard deviation of 15%, what percentage of your complete portfolio should be invested in the risky portfolio?

c. How much money should be invested in the risky asset to form a portfolio with an expected return of 11%? What is the standard deviation of your portfolio?

d. If your risk aversion is 3, what is your optimal position in the risky asset?

 

Apr 03 2020 Read more Less More

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