投资学课后习题答案Chap007.pdfVIP

CHAPTER 7: OPTIMAL RISKY PORTFOLIOS CHAPTER 7: OPTIMAL RISKY PORTFOLIOS PROBLEM SETS 1. (a) and (e). 2. (a) and (c). Afte eal estate is added to the po tfolio, the e a e fou asset classes in the po tfolio: stocks, bonds, cash and eal estate. Po tfolio va iance now includes a va iance te m fo eal estate etu ns and a cova iance te m fo eal estate etu ns with etu ns fo each of the othe th ee asset classes. The efo e, po tfolio isk is affected by the va iance (o standa d deviation) of