안녕하세요.
정말 해결하지 못하는 문제가 하나 있어서 여기에 와봤습니다.
금융관련 문제인데 답은 0.14이구요.
혹시나 푸실 수 있는 분이 있을까 해서 염출 불구하고 도움 부탁드립니다.Stock offersan expected rate of return of 18%,
withstandard deviation of 22%. Gold offers an expected rate of 10%, with a standarddeviation of 30%.
Suppose thatrisk-free rate is 8% and short selling any asset is forbidden (for simplicity).
We know thatstock dominates gold since E(rS) = 0.18 >0.10 = E(rG) and σS = 0.22 <0.30_G. Even
though goldis dominated by stocks, gold might still be an attractive asset to hold as apart of a portfolio. One
can consideran extreme case where correlation coefficient is −1, then itis possible to construct a portfolio
(containingboth gold and stock) with zero standard deviation. On the other extreme wherewhere correlation
coefficientis +1, one can show that any portfolio that contains gold is not an optimalrisky portfolio. So it
seems thatwhen correlation coefficient p is sufficiently small, an investor chooses to holdgold in his optimal
riskyportfolio.
What is thecritical level of correlation coefficient p* such that it is optimal to hold gold in optimal
risky-portfoliowhenever p < p*.
You shouldgive a detailedanswer with explanations in every step of your answer.