The risk free rate is 0%. Stock X has an expected return of 10% and a standard deviation of 20%. Stock Y has an expected return of 20% and a standard deviation of 20%. Ennio has mean-variance preferences and has access to the following two strategies: Strategy 1: mix stock X with risk free borrowing or lending, any weight

Sep 8, 2023

 

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The risk free rate is 0%. Stock X has an expected return of 10% and a standard deviation of 20%. Stock Y has an expected return of 20% and a standard deviation of 20%. Ennio has mean-variance preferences and has access to the following two strategies: Strategy 1: mix stock X with risk free borrowing or lending, any weight
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