12. (10 pts: 4+6) Suppose that risks σ and mean returns μ of all portfolios corresponding to the minimal variance line satisfy the equation: σ-V'20μ2-411+ 0.29. (a) Find the expected return a...
12. (10 pts: 4+6) Suppose that risks σ and mean returns μ of all portfolios corresponding to the minimal variance line satisfy the equation: σ-V'20μ2-411+ 0.29. (a) Find the expected return and risk of the minimum variance portfolio. (b) Assume that there is a riskless security with return R 0.07. Find the capital market line and the risk of the market portfolio 12. (10 pts: 4+6) Suppose that risks σ and mean returns μ of all portfolios corresponding to the...
3 Question 3 In a market are listed two risky assets whose returns are described by the following parameters HA=0.01. MB = 0.07, 01 = 0.2 and op = 0.12. The correlation among the securities is constant and equal to p=0.1. 1. Derive the equation for the frontier 2. Derive the minimum variance portfolio and the equation for the efficient frontier 3. Let's add a risk free asset among the possible investments with return r = 0.03 and derive the...