7. (Markowitz fun) There are just three assets with rates of return 1, 2, and 3, respectively...

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7. (Markowitz fun) There are just three assets with rates of return 1, 2, and 3, respectively The covariance matrix and the expected rates of return are [2 107 V = 1 2 1 F = 8 12. 8

(a) Find the minimum-variance portfolio [Hint By symmetry w = wy]

(b) Find another efficient portfolio by setting = 1, 0

(c) If the risk-free rate is y = 2, find the efficient portfolio of risky assets.

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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Question Posted: Jul 29, 2024 07:09 AM

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7. (Markowitz fun) There are just three assets with rates of return 1, 2, and 3, respectively...

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Investment Science

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