7. Construct the optimal active and overall risky portfolio with the data of problem 6 with no...

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7. Construct the optimal active and overall risky portfolio with the data of problem 6 with no restrictions on short sales.

a. What is the Sharpe measure of the optimal risky portfolio and what is the contribu- tion of the active portfolio?

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Investments

ISBN: 9780072339161

5th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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