What is the weight of DEF in the portfolio

Reference no: EM132730437

Question - The correlation coefficient between the market portfolio and the DEF Fund is 0.60. DEF has a standard deviation of 0.30 and the market portfolio's standard deviation is 0.20.

Assume you wish to create a portfolio of the riskless asset and the DEF find such that portfolio has a beta of 0.7. What is the weight of DEF in the portfolio?

Reference no: EM132730437

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