You are given information on five adjacent corner portfolios on the minimum-variance frontier. Each corner portfolio...

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You are given information on five adjacent corner portfolios on the minimum-variance frontier. Each corner portfolio is constructed from four underlying risky asset classes. The risk-free rate is 2.5% and there are short-sale constraints. Corner Expected Standard Portfolio Return Deviation Asset A Portfolio Weights Asset B Asset C Asset D 1 8.60% 20.00% 100.00% 0.00% 0.00% 0.00% 2 7.91% 16.78% 63.53% 36.47% 0.00% 0.00% 3 7.55% 15.48% 53.22% 37.23% 0.00% 9.55% 4 5.03% 8.42% 0.00% 24.70% 43.30% 32.00% 5 4.69% 8.15% 0.00% 10.90% 55.56% 33.54% You are given information on five adjacent corner portfolios on the minimum-variance frontier. Each corner portfolio is constructed from four underlying risky asset classes. The risk-free rate is 2.5% and there are short-sale constraints. Corner Expected Standard Portfolio Return Deviation Asset A Portfolio Weights Asset B Asset C Asset D 1 8.60% 20.00% 100.00% 0.00% 0.00% 0.00% 2 7.91% 16.78% 63.53% 36.47% 0.00% 0.00% 3 7.55% 15.48% 53.22% 37.23% 0.00% 9.55% 4 5.03% 8.42% 0.00% 24.70% 43.30% 32.00% 5 4.69% 8.15% 0.00% 10.90% 55.56% 33.54%

Answer rating: 100% (QA)

Answer To find the weights of the risky assets for the tangency portfolio we can use the Capital Market Line CML equation Erp rf Eri rfsigmaisigmap Wh... View the full answer