need detials of processThanks! Practice There are two stocks: A and B,...
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need detials of processThanks! Practice There are two stocks: A and B, and Treasury Bill (TB). The parameters of these securities are following: Expected Return Standard Deviation Correlation with Stock A 10% 20% 1 Stock A Stock B 15% 25% 0.2 TB 5% 0% 0 . a) What is the expected return and standard deviation of a portfolio, which invest 25% in A, 25% in B, and 50% in TB? b) If you have a risk aversion of 2, what is your optimal portfolio composition? What is your portfolio expected return and standard deviation
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