S
scr123
Member
Calculate the efficient frontier:
I calculated the point where the variance was minimum on the efficient frontier for the risky assets.
So V is minimised when x=(Vb-Cab)/(Va+Vb-2Cab)= 16/97
I then calculated the straight line passing through (0,r) and the point in E-sd space given by the above value of x.
...........
In the solution they find x to minimise (E-r)/sd. This gives a different value of x.
Could you explain why my method was wrong?
I calculated the point where the variance was minimum on the efficient frontier for the risky assets.
So V is minimised when x=(Vb-Cab)/(Va+Vb-2Cab)= 16/97
I then calculated the straight line passing through (0,r) and the point in E-sd space given by the above value of x.
...........
In the solution they find x to minimise (E-r)/sd. This gives a different value of x.
Could you explain why my method was wrong?