Recalculate Problem 17 for a portfolio manager who is not allowed to short sell securities. a. What

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Recalculate Problem 17 for a portfolio manager who is not allowed to short sell securities.

a. What is the cost of the restriction in terms of Sharpe’s measure?

b. What is the utility loss to the investor (A = 2.8) given his new complete portfolio? P-968

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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