收益率
A
Ecr
× (70%) 14%
Y (30%) 10%
4. You are considering investing $1,000 in a complete portfolio. The complete
portfolio is composed of Treasury bills that pay 5% and a risky portfolio, (P,
constructed with two risky securities, X and Y. The optimal weights of X and Y in P
are 70% and 30%, respectively. X has an expected rate of return of 14%, and Y has an
expected rate of return of 10%. The dollar values of your positions in X, Y, and
Treasury bills would be
and
,
respectively, if
you decide to hold a complete portfolio that has an expected return of 8%.
Treasury the $110 $1000 profoliots a f
.08(1000)=F(.05)+(1000 - F)[.6(.14)+.4(.10)]
F = 595
X = (1,000-595)(.6)=243
Y = (1,000-595)(.4)=162
7-175%
P
X-1 14%
Y- 10%
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