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ch07twosecurityopen_i(1) - Chap 7 Problems Chapter 7 Two...

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Chap. 7 Problems Page 1 Chapter 7 Two Security Portfolio Dr. Johnson Asset Allocation Analysis: Risk and Return Expected Standard Corr. Return Deviation Coeff s,b Covariance Security 1 0.17 0.25 0.2 0.01 Security 2 0.1 0.12 T-Bill 0.09 0 Weight Weight Expected Standard Reward to Security 1 Security 2 Return Deviation Variability 1 0 0.17000 0.25000 0.32000 0.9 0.1 0.16300 0.22770 0.32059 0.8 0.2 0.15600 0.20615 0.32016 0.7 0.3 0.14900 0.18558 0.31792 0.6 0.4 0.14200 0.16639 0.31253 0.5 0.5 0.13500 0.14908 0.30185 0.4 0.6 0.12800 0.13440 0.28273 0.3 0.7 0.12100 0.12329 0.25143 0.2 0.8 0.11400 0.11677 0.20553 0.1 0.9 0.10700 0.11562 0.14703 0 1 0.10000 0.12000 0.08333 Minimum Variance Portfolio Short Sales No Short Allowed Sales Weight 1 0.12943 0.12943 Weight 2 0.87057 0.87057 Return 0.10906 0.10906 Risk 0.11538 0.11538 Optimal Risky Portfolio Short Sales No Short Allowed Sales Weight 1 0.88278 0.88278 Weight 2 0.11722 0.11722 Ex Ret 0.16179 0.16179 St Dev. 0.22393 0.22393 Reward to Variability 0.32061 0.32061 Optimal Portfolio with a Risk Free Asset Short Sales No Short Allowed Sales Desired rate of return: 0.15 Weight OP 0.83572 0.83572 Weight RF 0.16428 0.16428 Ex Ret 0.15000 0.15000 St Dev 0.18714 0.18714 Optimal Portfolio w/o a Risk Free Asset Desired rate of return: 0.15 Weight 1 0.71429 Weight 2 0.28571 Ex. Return 0.15000 St Dev 0.18845 CAL (MV) CAL (OR) -0.05 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0 Portfolio Risk and Return Starndard Deviation
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