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Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You...

Expected Return

Standard Deviation

Portfolio A

12%

20%

Portfolio B

6%

12%

T-bill

3%

0%

You are an investment adviser and you have the three investments above to recommend to your clients. The correlation between A and B is -0.5.

Solve for the optimal risky portfolio and enter the weights as a %, 99% should be entered as 99.00%.

Percent invested in Portfolio A

Percent invested in Portfolio B

What is the standard deviation of the optimal risky portfolio?

What is the expected return of the optimal risky portfolio?

What is the Sharpe ratio of the optimal risky portfolio?

Solutions

Expert Solution

EXPECTED RETURN AND STANDARD DEVIATION ROUNDED TO 2 DECIMALS. SHARPE RATIO WAS ROUNDED TO 4 DECIMALS. THANK YOU

EXPECTED RETURN : 8.5244% AND STANDARD DEVIATION :7.7868%, THEN ROUNDED TO 2 DECIMALS.

FOR SHARPE RATIO, BOTH ARE TAKEN TILL 4 DECIMALS. THANK YOU

jeff jeffy answered 2 years ago
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