4.8. Show that the return of the minimum variance portfolio in Example 4.1675 percent IBM and 25...

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4.8. Show that the return of the minimum variance portfolio in Example 4.16—75 percent IBM and 25 percent IBM’s put option—has the same covariance with IBM’s stock return as it does with the put option. Show that no other portfolio of the two stocks has this property.

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Financial Markets And Corporate Strategy

ISBN: 9780071157612

2nd Edition

Authors: Mark Grinblatt, Sheridan Titman

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