Lucy has $900,000 to invest and she wants a portfolio beta of 1.2.
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Lucy has $900,000 to invest and she wants a portfolio beta of 1.2. The S&P 500 has an expected return of 18% and the standard deviation is 30%. The risk-free return is 5%. She plans to put her money in the S&P 500 and T-bills. What is the expected return (in %) and standard deviation of her portfolio?
12 years ago
FIN - Lucy Solution
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- fin_-_lucy_solution.xlsx