Questions
FINS5513-Investments & Portfolio Sel. - T2 2025
Numerical
Assume an optimal risky portfolio P* has an expected return of 12%. The risk-free rate is 4%. An investor investing along the capital allocation line has an optimal allocation to risky assets y* of 75%.If the optimal risky portfolio has a standard deviation of 20%, what is the standard deviation of the investor’s optimal complete portfolio?If your answer is a %, enter as a decimal to 4 decimal places e.g., if your answer is 5.23%, enter 0.0523. If your answer is a whole number, enter to 2 decimal places e.g., if your answer is 11.4578, enter 11.46.
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To evaluate the standard deviation of the complete portfolio along the capital allocation line, we start by noting a key property: the risk-free asset has zero standard deviatio......Login to view full explanationLog in for full answers
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