This preview shows page 1. Sign up to view the full content.
Unformatted text preview: minimum value? And what is the corresponding expected rate of return? [ Hint : before calculating a general expression for variance, think about a simple answer] EQ6. Assume that the expected rate of return on the market portfolio is 23% and the rate of return on Tbills (the riskfree rate) is 7%. The standard deviation of the market is 32%. Assume the market portfolio is efficient. a. What is the equation of the of the capital market line? b. i. If an expected return of 39% is desired, what is the standard deviation of this position. ii. If you have $1,000 to invest, how should you allocate it to achieve the above position? c. If you invest $300 in the riskfree asset and $700 in the market portfolio, how much should you expect to have at the end of the year?...
View
Full
Document
This note was uploaded on 11/09/2010 for the course FINC 2012 taught by Professor Andrew during the Three '10 term at University of Sydney.
 Three '10
 Andrew

Click to edit the document details