| June 22, 2015

Consider the following data for assets A and B:

Return A = 10% Return B = 19%; Standard deviation A 3%; standard deviation B 5%;  Beta A= .6; Beta B = 1.4; Pab = 0.4

a. Calculate the expected return, variance, and beta of a portfolio constructed by investing 1/3 in A and 2/3 in asset B.

b. If only the riskless asset and assets A and B are available find the optimum risky asset portfolio if the risk free rate is 8%.

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Category: Mathematics, Uncategorized

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