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Consider a single-step market model with n = 2 risky assets, where returns and covariances are given by: 1 = 5% 2 = 2% 1
Consider a single-step market model with n = 2 risky assets, where returns and covariances are given by:
1 = 5%
2 = 2%
1 2 = 5%
22 = 2%
c12= 3%.
Compute the return and the variance of the above portfolio
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