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第七讲作业-最优风险资产组合
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9.Risk and Return for Security Portfolios
Suppose you have $100 to invest in two assets, A and B. A and B are the only
assets available. A is a risky asset and B is a risk-free asset. The expected
return on A is 5%, and B earns a risk-free rate of 3%. The standard deviations
of returns on A and B are 10% and 0%, respectively. The covariance between the
returns on the two assets is 0.
(a)If you invest $30 in A and $70 in B, what is the expected return on your
portfolio?
(b)What is the standard deviation of return for the portfolio in (a)?
(c)If you want to invest $130 in A, how much do you have to short sell B? Assume
you can fully use the proceeds from the short sale, and ignore margin and
collateral requirements.
(d)Calculate the expected return and the standard deviation of return for the
portfolio in (c).
(e)If
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