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* * 3 . 3 * * After your client reviews your proposal from the exercise involving two stocks, she really likes the idea of
After your client reviews your proposal from the exercise involving two stocks, she really likes the idea of risk diversification. As a portfolio manager, you are given the right to invest in all of the securities listed in the pool AAPL TTM WFC BIDU, DISU, GOOG, MSFT TSLA, COP, XOM
Can you work out your optimal risky portfolioaka tangent portfolio on the efficient frontier using all securities
Hint: You can use the same logic and Solver built from Step
Calculate your final portfolio weights in each stock and the portfolio characteristics mean std dev, and sharpe ratio
You should find that some of your weights come out negative. This means that the optimal risky portfolio contemplates short selling. See Module for more information on short selling if your minimum weight instead of being negative, please make sure to uncheck the Make Unconstrained Variables NonNegative option in the Solver Parameters window
What if your mandate does not allow you to participate in short selling activity? In other words, the lowest weight you can impose on the stocks in your portfolio is zero. What is your portfolio composition under this constrained or longonly regime?
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