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Question 5.16: Suppose that the risk-free return is rF = 5%. Compute the we...

Suppose that the risk-free return is r_F = 5\%. Compute the weights in the market portfolio constructed from the three securities in Exercise 5.11. Also compute the expected return and standard deviation of the market portfolio.

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The market portfolio weights are w≅[0.438 \ 0.012 \ 0.550] The expected return on this portfolio is μ_M ≅ 0.183 and the standard deviation is σ_M≅0.156.

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