In facing increasing volatility in the stock market, you are advising your clients to spread their risk across an equity mutual fund (with an expected return of 10% and a standard deviation of 12%) and a bond fund (with an expected return of 6% and a standard deviation of 5%). In other words to form a portfolio using the equity fund and the bond fund. Suppose the correlation between the equity fund and bond fund is 0.1.
(a) Mr. Sam wants to control his exposure of volatility (i.e. standard deviation) to 5.9093%. How should he divide up his assets between the equity fund and the bond?
(b) While Mrs. Sam wants to earn an expected return of 8% from her portfolio. What will her portfolio look like?
(c) Which client is more risk averse, and why?
a) 这道题我知道是用组合的方差公式以及W1+W2=1联立，求出W1，W2，但是感觉算不出来，能麻烦帮我写yi'xia一下具体怎么算吗，谢谢。
c) zhe'ge'shi'bu'shi这个是不是组合方差越小，所以越风险厌恶
