What are the market portfolio return- variar corresponding

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Reference no: EM132003093

Suppose that there are 2 assets with r₁ = 0.20, sigma₁ = 0.40, r₂ = 0.10, sigma₂ = 0.25, Cov₁₂ = 0.005.

If r₀ = 0.02, what are the market portfolio return and variar corresponding weights (i.e. how much to invest in asset 1, asset 2, and the risk-free asset to get the market portfolio)?

If r₀ = 0.05, what are the market portfolio return and variar corresponding weights?

Reference no: EM132003093

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