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Portfolio A has an expected return of 10% per year and a standard deviation of 20%...

Portfolio A has an expected return of 10% per year and a standard deviation of 20% per year, while the risk-free asset returns 2% per year.

a. What is the expected return of a portfolio consisting the risk-free asset and portfolio A that has a standard deviation of 15%?

b. What is the portfolio weight on A of a portfolio consisting the risk-free asset and portfolio A that has a standard deviation of 15%?

c. What is the standard deviation of a portfolio consisting the risk-free asset and portfolio A that has an expected return of 6%?

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jeff jeffy answered 1 year ago
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