This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: becomes more attractive (Why?) We can now identify an <:p\?moJ rt~t\f portfolio which dominates all other risky portfolio (irrespective of risk preferences) The optimal (tangency) portfolio has the highest Sharpe ratio among all feasible portfolios Std dev OJ The Market Portfolio has the Highest Sharpe Ratio of Any Risky Portfolio Capital Market Line Expected Return E(R;) Std dev OJ A World with One Risk-free Asset and N Risky Assets Capital Markel Line Expected Return E(R;) Riskless Asset /;1,- . ~-Old Efficient v=---~ Frontier Portfolio ~ Std dev OJ Utility Maximization with a Risk-free Asset ~ Expected Return E(R;) Old Efficient Frontier Std dev OJ...
View Full Document
- Fall '10