Answers HW4.docx - Answers E R MVP = 17.12 \u03c3 MVP = 17.2 If E(Rp is,e.g 18 \u03c3 p = 17.3 With no f p is not unique o A=4 E(Rp = 22.8 o A=10 E(Rp = 19.4

# Answers HW4.docx - Answers E R MVP = 17.12 σ MVP = 17.2 If...

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Answers: E( R MVP ) = 17.12 % σ MVP = 17.2% - If E(Rp) is ,e.g, 18% : σ p = 17.3% With no f, p* is not unique o A=4 , E(Rp*) = 22.8% , p ¿ σ ¿ = 20.9% o A=10, E(Rp*) = 19.4% , p ¿ σ ¿ = 17.8% - With f, p* is unique, investors hold c= p*+f o A= 4 & 10 , E(Rp*) = 24.4% , p ¿ σ ¿ = 23% o A= 4 , E(Rc) = 20.7% , σ c = 17.9% Wp* = 78% W US = 55.9% W GM = 49.1% W UK = 24.4% W JP = 15.3%

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