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Construct the Global Minimum-Variance Portfolio (GMVP) consisting of the 5 selected stocks over the April 2017 March 2021 period. Note: You need to do the
Construct the Global Minimum-Variance Portfolio (GMVP) consisting of the 5 selected stocks over the April 2017 March 2021 period.
Note: You need to do the calculation based on the MPT.
- What are the weights of the selected 5 stocks in the GMVP?
- What is the monthly expected return on the GMVP?
- What is the risk of the GMVP (as measured by standard deviation and variance, respectively)?
ANZ ANZ Banking Group Limited Telstra Corporation CSL Limited TLS CSL ASX WBC ANZ ANZ Banking Group Limited Telstra Corporation CSL Limited TLS CSL ASX WBC
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Authors: Kara Boniecka
1st Edition
1502472090, 978-1502472090
