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2. An investor can design a risky portfolio based on two stocks, S and B. Stock...

2. An investor can design a risky portfolio based on two stocks, S and B. Stock S has an expected return of 12% and a standard deviation of return of 25%. Stock B has an expected return of 10% and a standard deviation of return of 20%. The correlation coefficient between the returns of S and B is 0.4. The risk-free rate of return is 5%.

. c. The standard deviation of the returns on the optimal risky portfolio is __________.

d. Suppose now you must yield an expected rate of return of 10% and on the CAL, what is the standard deviation of your portfolio?

Solutions

Expert Solution

c)std of optimal risky portfolio=18.94%

d) it is 15.73%

jeff jeffy answered 1 year ago
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