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Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You are an investment adviser and you have the three investments above...

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Question

Finance

Expected Return

Standard Deviation

Portfolio A

12%

20%

Portfolio B

6%

12%

T-bill

3%

0%

You are an investment adviser and you have the three investmentsabove to recommend to your clients. The correlation between A and Bis -0.5.

Solve for the optimal risky portfolio and enter the weights as a%, 99% should be entered as 99.00%.

Percent invested in Portfolio A

Percent invested in Portfolio B

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Transcribed Image Text

Expected ReturnStandard DeviationPortfolio A12%20%Portfolio B6%12%T-bill3%0%You are an investment adviser and you have the three investmentsabove to recommend to your clients. The correlation between A and Bis -0.5.Solve for the optimal risky portfolio and enter the weights as a%, 99% should be entered as 99.00%.Percent invested in Portfolio APercent invested in Portfolio B

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