Problem in Treynor black

now that’s how you post a question!
the correct way to think it is :
0.45 = ( 0.10 - 0.03 ) / sigma
sigma = 15.556%
optimal portfolio for a given investor who allocate 70% of his money to risk free assets and 30% to the optimal portfolio is
0.70 * 0 + 0.30 * 0.15556 = 0.0466
so 14hours later, the answer is A
 
yep, but just be careful not to calculate std dev of portfolio as weighted average std deviation. Here it’s ok, because one std dev = 0, but not in all cases.
I know summerside you know this because you mentioned it on top when you asked about covariances.
 
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