Consider two risky assets with prices S1(0) = 100, S2(0) = 150 the price is:
S1(1), S2(1) = (80, 250) with probability 2/8
(90, 150) with probability 4/8
(120, 200) with probability 2/8
a) Assuming : w1 ≥ −0.5 and w2 ≥ −0.5. On the (σ, µ)-plane, plot all the
portfolios attainable by investing in the risky assets. Highlight the two risky
assets on the plot.
S1(1), S2(1) = (80, 250) with probability 2/8
(90, 150) with probability 4/8
(120, 200) with probability 2/8
a) Assuming : w1 ≥ −0.5 and w2 ≥ −0.5. On the (σ, µ)-plane, plot all the
portfolios attainable by investing in the risky assets. Highlight the two risky
assets on the plot.
Last edited: