Unformatted text preview: c. Draw the investment opportunity set given the data you generated in part (a). d. Draw a tangent from the riskfree rate to the opportunity set. What does your graph show for the expected return and standard deviation of the optimal risky portfolio? Is your graph consistent with the minimum variance portfolio found above? e. What is the Sharpe ratio of the CAL? f. Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the CAL. What is the standard deviation of your portfolio? What is the allocation in each of the three assets? g. If you were to use only the two risky funds and still require an expected return of 12%, what would be the proportions of the two? Compare the standard deviation of this portfolio with the one in (f)....
View
Full Document
 Fall '08
 BAR
 Economics, Standard Deviation, minimum variance portfolio

Click to edit the document details