Question: Year Blandy Gourmange Average annual return 6.4%% 9.2% Standard deviation of annual return 25.2% 38.6% Correlation between Blandy and…
You currently have $300,000. You want to invest it in the following three assets: 10-year US Treasury bond with coupon raate 3.8%, Blandy and Gourmange stocks below:
Your goal is to have the expected return of 6.8% with a minimum portfolio risk. How much money should you allocate to these three assets?
Optimal Risky PortfolioBlandy6.40%25.20% Average annual returnStandard deviation of annual returnCorrelation between Blandy and GourmangeRisk-free rateTangency portfolio weightsExpected…
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