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Consider the following data for the US and Australia: Return stdev US 0.1355 0.1535 AU 0.1497 0.2298 Correlation of US-AU = 0.80 Assume the risk-free
Consider the following data for the US and Australia:
|
| Return | stdev |
| US | 0.1355 | 0.1535 |
| AU | 0.1497 | 0.2298 |
Correlation of US-AU = 0.80 Assume the risk-free rate to be 7%.
- Compute the weights for the minimum variance portfolio (MVP).
- Compute the weights for the mean variance efficient (MVE) portfolio.
- What is the slope of the Capital Allocation Line (CAL)?
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Project Finance
Authors: B Rajesh Kumar
1st Edition
3030967247, 978-3030967246
