security A and B is 0.25. The risk free rate is 3%. The weight of security A in the tangency portfolio of security A and B is closest to 5%. 15% 25%. 35% 45% 55% 65%. 75%. 85%. 95%.
security A and B is 0.25. The risk free rate is 3%. The weight of security A in the tangency portfolio of security A and B is closest to 5%. 15% 25%. 35% 45% 55% 65%. 75%. 85%. 95%.
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter2: Risk And Return: Part I
Section: Chapter Questions
Problem 3Q: Security A has an expected return of 7%, a standard deviation of returns of 35%, a correlation...
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Question
![The expected return on security A is 9% and the volatility of this return is 50%. The expected return of
security B is 14% and the volatility of this return is 40%. The correlation coefficient between the returns of
security A and B is 0.25. The risk free rate is 3%. The weight of security A in the tangency portfolio of
security A and B is closest to
5%.
x
15%
25%.
35%.
45%.
55%.
65%
75%.
85%.
95%
Hide question 4 feedback
The weights of the tangency portfolio is the standardized solution of
0.25xz,+0.06x0.06
0.06xz, +0.16x2,-0.11
The standardized solution is 14.3% for security a and 85.7% for security B.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F8108afd6-b5a7-4173-8d96-272e42ad59be%2F49b98962-062e-4876-8442-9660681cdc01%2Fj5ptn2p_processed.png&w=3840&q=75)
Transcribed Image Text:The expected return on security A is 9% and the volatility of this return is 50%. The expected return of
security B is 14% and the volatility of this return is 40%. The correlation coefficient between the returns of
security A and B is 0.25. The risk free rate is 3%. The weight of security A in the tangency portfolio of
security A and B is closest to
5%.
x
15%
25%.
35%.
45%.
55%.
65%
75%.
85%.
95%
Hide question 4 feedback
The weights of the tangency portfolio is the standardized solution of
0.25xz,+0.06x0.06
0.06xz, +0.16x2,-0.11
The standardized solution is 14.3% for security a and 85.7% for security B.
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