Find the optimal portfolio

Reference no: EM132206471

Question - Suppose an investment professional is putting together a portfolio of two risky assets A, B and a risk-free asset. Assume that the tangency portfolio combining the two risky assets consists of 80% A and 20% B, and has expected return 8% and volatility of 5.5%. Suppose also that the risk-free rate of return for lending or borrowing is 2%.

(a) Find the equation of the efficient portfolio frontier.

(b) Find the optimal portfolio that would give an expected return of 10% and explain how you would invest a capital of $2,100,000 with lending or borrowing in this case.

Reference no: EM132206471

Questions Cloud

How much do you end of year : You agreed to pay your parents back for the $1000 loan they college education. If you will repay the loan in a single lump sum, how much do you end of 1 year

Explain how you applied social work practice skills : A process recording is a written tool used by field education experience students to examine the dynamics of social work interactions in time.

Compute the area under the curve of the function : Write a Matlab script that can compute the area under the curve of the function using the rectangular rule you learned in Calculus.

Prepare a report on southwest aircrafts : You need to prepare a report on Southwest Aircrafts. You need to re-write the assignment

Find the optimal portfolio : Find the optimal portfolio that would give an expected return of 10% and explain how you would invest a capital of $2,100,000 with lending or borrowing in case

Examine a list of test scores stored in memory : Write an MC68000 program that will examine a list of test scores stored in memory.

Prepare a report on kodak company : You need to prepare a report on Kodak Company. You need to re-write the assignment

What is the price of the bond : A bond promises a risk-free payment of $1000 in one year. The risk-free rate of interest is 3.11%. What is the price of the bond

Find the maximum value of a list of integers : Write a method to find the maximum value of a list of integers. The node definition is given below.

User Account

All Pages