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A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance Mean returns 0.10 0.01 0.03 0.05 6% 0.01 0.30 0.06 -0.04 8% 0.03 0.06 0.40 0.02 10% 0.05 -0.04 0.02
A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance Mean returns 0.10 0.01 0.03 0.05 6% 0.01 0.30 0.06 -0.04 8% 0.03 0.06 0.40 0.02 10% 0.05 -0.04 0.02 0.50 15% Calculate the envelope set for the four assets below and show that the individual assets all lie within this envelope set.
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Financial Modeling
Authors: Simon Benninga
4th Edition
0262027283, 9780262027281
