solution

Two assets A and B are made to regressed against the return of a market portfolio Rw. The results are as follow:

RA = (0.04 + (0,8RM

Rg= -0.02 +1.8RM

It is given that E(R) = 18% and on = 30%. The capital R means excess return.

(a) (5 points) Under the utility function U(X) = E(rx) – 0.5AoÅ¾, find the range of values of A such that asset A is better than aset B.

(b) (3 points) Form an optimal risky portfolio using only asset A and B. State the proportion of A and B in the portfolio (e) (2 points) Find the total covariance of between the optimal risky portfolio and the market portfolio.

Solution:

15% off for this assignment.

Our Prices Start at $11.99. As Our First Client, Use Coupon Code GET15 to claim 15% Discount This Month!!

Why US?

100% Confidentiality

Information about customers is confidential and never disclosed to third parties.

Timely Delivery

No missed deadlines – 97% of assignments are completed in time.

Original Writing

We complete all papers from scratch. You can get a plagiarism report.

Money Back

If you are convinced that our writer has not followed your requirements, feel free to ask for a refund.

Boost your Grades with us today!

BRISK ESSAYS