In the example below, use Excel to find an envelope portfolio whose with respect to the

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In the example below, use Excel to find an envelope portfolio whose β with respect to the efficient portfolio y is zero. Notice that because the covariance is linear, so is β: Suppose that z = λx + (1 - λ) y is a convex combination of x and y, and that we are trying to find the βz. Then

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Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

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