What is the variance of the complete portfolio

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You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 5% and a risky portfolio, P, constructed with two risky securities, X and Y. The optimal weights of X and Y in P are 60% and 40%, respectively. X has an expected rate of return of 14%, and Y has an expected rate of return of 10%. The risky portfolio, P, has a standard deviation of 0.7. Assuming you decide to hold a complete portfolio that has an expected return of 8%.

a) What is the variance of the complete portfolio?

b) What is the price of risk of the the complete portfolio?

c) What is the sharp ratio of the CAL?

Reference no: EM131835371

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