Answer to Question #280608 in Finance for bob

Question #280608

There is an investment opportunity set where the optimal risky portfolio O has expected rate of return of 12% and volatility( or standard deviation) of 25%, and T-bill yields a risk free rate of 2%. 

1. Investor A chooses to invest 75 % in the portfolio O and 25% in T-bill. Compute the expected return and volatility of her portfolio, and its Sharpe ratio. 

2. Investor B has an expected risk premium of 7% to the risk-free asset return with her portfolio. Compute the composition of her portfolio and its Sharpe ratio. 

3. Investor C has a volatility target of 20%. Compute the expected return and its Sharpe ratio. 

4. Draw a CAL line and mark Sharpe ratio and all investors’ asset allocation choices(A, B, C).


1
Expert's answer
2021-12-20T10:17:37-0500
Dear bob, your question requires a lot of work, which neither of our experts is ready to perform for free. We advise you to convert it to a fully qualified order and we will try to help you. Please click the link below to proceed: Submit order

Need a fast expert's response?

Submit order

and get a quick answer at the best price

for any assignment or question with DETAILED EXPLANATIONS!

Comments

No comments. Be the first!

Leave a comment

Ask Your question

LATEST TUTORIALS
New on Blog
APPROVED BY CLIENTS