In: Finance
Determine the tangency portfolio of the three stocks (i.e.
determine the weights that the three stocks have in the
portfolio:
Stock | Std. Deviation Of the return | Expected return | Correlation with return on Y | Correlation with return on Z |
X | 0,2 | 0,15 | 0,8 | -0,1 |
Y | 0,3 | 0,1 | 1 | 0,2 |
Z | 0,25 | 0,12 | 0,2 | 1 |
R(f) | 5% | |||
X | Y | Z | ||
Problem 1.1 + 1.2 | X | 0,04 | 0,048 | -0,005 |
Y | 0,048 | 0,09 | 0,015 | |
Z | -0,005 | 0,015 | 0,0625 | |