In a world of one risk-free and one risky asset, an investor faces the following values: Expected return on risky portfolio E(r P ) = 0.
In a world of one risk-free and one risky asset, an investor faces the following values: Expected return on risky portfolio E(rP) = 0.12 SD of risky portfolio σP = 0.25 Risk-free rate rf = 0.05 In what follows the notation is such that: y = fraction of the complete portfolio in the risky portfolio E(rC) = return on the complete portfolio σC= SD of the complete portfolio […]