CAS Exam 9 Spring 2014, Question 5
Study guide: Exam 9
Given the following information for constructing an investment portfolio:
| Asset | Expected Return | Standard Deviation |
|---|---|---|
| A | 8% | 20% |
| B | 10% | 25% |
- The risk-free rate is 2%.
- The correlation coefficient between assets A and B is -0.4.
- The investor has a risk aversion coefficient of 5.
Calculate the expected rate of return and standard deviation of the optimal complete portfolio.
Part a (2.75 points)
No current syllabus covers this question; it is kept for the record.
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