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Stock A has an expected return of 10% and a standard deviation of 5%. Stock B has an excpted return of 15% and a standard deviation of 10%. The risk free rate is 11.67%. E(r) of the equally weighted portfolio is 12.22%, standard devaition of the equally weighted portfolio portfolio is 2.08%.

What is the optimal portfolio (including A, B, & risk free) given the information above? Assume the investors risk aversion coefficient is given by A=4. Provide all the relevant portfolio weights for all three assets.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91782078

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