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Assume the CAPM holds. Consider three feasible portfolios of stocks X, Y and Z with the following return characteristics: Portfolio Y Z Expected return 7.5%
Assume the CAPM holds. Consider three feasible portfolios of stocks X, Y and Z with the following return characteristics: Portfolio Y Z Expected return 7.5% 5% 10% Standard deviation 5% 10% 15% c) It is known that one of the portfolios X, Y, Z lies on the efficient frontier (which includes the risk-free asset). Which portfolio is efficient? Explain/justify your
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