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Two risky assets: A and B. The expected return for A is 10% and for B 30%. The variance for returns for A is 400(%2) and for B is 3600(%2). The covariance between A and B returns is -0.05. T-bills give a return of 5% with a standard deviation of 0%. The investor has a risk aversion index, A=5.0. Show all work.    1. calculate the correlation between A and B

Two risky assets: A and B. The expected return for A is 10% and for B 30%. The variance for returns for A is 400(%2) and for B is 3600(%2). The covariance between A and B returns is -0.05. T-bills give a return of 5% with a standard deviation of 0%. The investor has a risk aversion index, A=5.0. Show all work.    1. calculate the correlation between A and B

Glencoe Algebra 1, Student Edition, 9780079039897, 0079039898, 2018
Glencoe Algebra 1, Student Edition, 9780079039897, 0079039898, 2018
18th Edition
ISBN:9780079039897
Author:Carter
Publisher:Carter
Chapter10: Statistics
Section10.1: Measures Of Center
Problem 9PPS
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Two risky assets: A and B.

The expected return for A is 10% and for B 30%.

The variance for returns for A is 400(%2) and for B is 3600(%2).

The covariance between A and B returns is -0.05.

T-bills give a return of 5% with a standard deviation of 0%.

The investor has a risk aversion index, A=5.0. Show all work. 

 

1. calculate the correlation between A and B

2. calculate portfolio return / standard deviation for global mvp

3. optical risky portfolio, P (expected return and SD)

4. slope of CAL

5. how much will the investor invest (A=4) in T-bills, assets A and B?

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