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Business, 17.08.2020 19:01 danieldfuenteg732

Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i. e., the portfolio with the highest Sharpe ratio, is given below: А в D Stock A 2 3 Expected return Variance 0.062 0.1369 0.37 0.02442 с Stock B Risk-free asset 0.075 0.03 0.0484 0.22 Standard deviation 5 Covariance 0.0772 8 9 10 Optimal risky portfolio Weights Expected return Variance Standard deviation Sharpe ratio 0.074 0.04551 0.923 =1-B8 =B8*B2+C8*C2 =B8^2*B3+C8^2*C3+2*B8*C8*B5 =B10^0.5 =(B9-D2)/B11 0.2133 12 0.2062 Part 1 | Attempt 1/10 for 10 pts. What is the expected return of a portfolio composed of 50% of the optimal risky portfolio and 50% of the risk-free asset? 3+ decimals Submit Part 2 | Attempt 1/10 for 10 pts. What is the standard deviation of such a portfolio? 3+ decimals Submit

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Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a...
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