If r0 002 what are the market portfolio return and, Finance Basics

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If r0 002 what are the market portfolio return and

Suppose that there are 2 assets with r1 = 0:20; 1 = 0:40; r2 = 0:10; 2 = 0:25; p12 =0:05, where p12 is the correlation of returns between asset 1 and asset 2.

(a) If r0 = 0:02, what are the market portfolio return and variance? What are the corresponding weights (i.e. how much to invest in asset 1, asset 2, and the risk-free asset to get the market portfolio)?

(b) If r0 = 0:05, what are the market portfolio return and variance? What are the corresponding weights?

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Finance Basics: If r0 002 what are the market portfolio return and

Reference No:- TGS0622331

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Finance Basics: If r0 002 what are the market portfolio return and

Reference No:- TGS0622331

Recent Questions Asked Finance Basics

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