a. First confirm for yourself that our simple rule for computing the variance of a two-asset portfolio

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a. First confirm for yourself that our simple rule for computing the variance of a two-asset portfolio from the bordered covariance matrix is consistent with Equation 7.3.

b. Now consider a portfolio of three funds, X, Y, Z, with weights wX, wY, and wZ. Show that the portfolio variance is

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ISE Investments

ISBN: 9781260571158

12th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Mar 13, 2024 05:00 AM

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a. First confirm for yourself that our simple rule for computing the variance of a two-asset portfolio

Question:

wo+wa+wa+2wxwy Cov(rx, rv) +2wxWz Cov(rx, rz) + 2wy wz Cov(ry, rz)

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ISE Investments

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