Consider a market consisting of two risky assets s1 and s2, Ask an Expert

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Consider a market consisting of two risky assets S1 and S2 such that (σ1,μ1) = (0.1,0.1), (σ2,μ2) = (0.20,0.12) and ρ12= 0.1.

a) Find the weights of the portfolio V that has expected return 4 times that of the minimum variance portfolio.

b) Assume also that there is a risk-free asset with return R= 2%. Determine the weights of the market portfolio.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92698157

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