Ay 2. You have the following information: - ADCB stock has an average return of 8.5% and a standard deviation of 18.5% - ADIB stock has an average return of 16.5% and a standard deviation of 22.5% - The correlation between ADCB and ADIB is -30% - The risk-free rate is equal to 5% Assume the optimal risky portfolio has a return of 13.11% and a standard deviation of 12.99%. Your risk aversion degree is equal to 7. What would be the weight (y) that you invest in the optimal risky portfolio?
Ay 2. You have the following information: - ADCB stock has an average return of 8.5% and a standard deviation of 18.5% - ADIB stock has an average return of 16.5% and a standard deviation of 22.5% - The correlation between ADCB and ADIB is -30% - The risk-free rate is equal to 5% Assume the optimal risky portfolio has a return of 13.11% and a standard deviation of 12.99%. Your risk aversion degree is equal to 7. What would be the weight (y) that you invest in the optimal risky portfolio?
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 3P: Two-Asset Portfolio
Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...
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Ay 2.
You have the following information:
- ADCB stock has an average return of 8.5% and a standard deviation of 18.5%
- ADIB stock has an average return of 16.5% and a standard deviation of 22.5%
- The correlation between ADCB and ADIB is -30%
- The risk-free rate is equal to 5%
Assume the optimal risky portfolio has a return of 13.11% and a standard deviation of 12.99%. Your risk aversion degree is equal to 7. What would be the weight (y) that you invest in the optimal risky portfolio?
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