Summarise the risk return features of the portfolio

Reference no: EM132175114

Question - Suppose a client invests in the two stocks (CBA and TCL) and also in the risk-free security, find the optimal portfolio that maximises the expected utility of the client (assume A = 3.5 and short-selling is allowed). Hint: the best way is to first find the portfolio of the two stocks that maximises the slope of the capital asset allocation line (CAL) and then find the best allocation between it and the risk-free security. Assume the risk-free interest rate is the average cash rate. Summarise the risk return features of the portfolio in a simple labelled table and explain the weights given to the two securities.

Reference no: EM132175114

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