What is the bond weight in the tangency portfolio

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Reference no: EM132063620

Question: You put 70% of your money in a stock portfolio that has an expected return of 11.75% and a standard deviation of 28%. You put the rest of the money in a risky bond portfolio that has an expected return of 2.65% and a standard deviation of 12%. The stock and bond have a corrleation of 0.33. Assume the risk free rate is 1.75%. What is the bond weight in the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio?

Reference no: EM132063620

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