What is your optimal position in the risky asset

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Reference no: EM131936607

You invest $10,000 in a complete portfolio. The complete portfolio is composed of a risky asset with an expected rate of return of 15% and a standard deviation of 21% and a Treasury bill with a rate of return of 5%.

a. The slope of the capital allocation line formed with the risky asset and the risk-free asset is approximately _______.

b. If you want your complete portfolio to have a standard deviation of 15%, what percentage of your complete portfolio should be invested in the risky portfolio?

c. How much money should be invested in the risky asset to form a portfolio with an expected return of 11%? What is the standard deviation of your portfolio?

d. If your risk aversion is 3, what is your optimal position in the risky asset?

Reference no: EM131936607

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