Question
If I have 4 risky securities, have expected returns and variance-covariance matrix, and in addition to these risk secirities I caan also lend at 1%
If I have 4 risky securities, have expected returns and variance-covariance matrix, and in addition to these risk secirities I caan also lend at 1% per annum, but borrow at 5% per annum. If I wish to obtain the standard deviation of 5%, what is my optimal portfolio? How can I solve this question?
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Financial Markets And Institutions
Authors: Anthony Saunders, Marcia Cornett
5th Edition
0078034663, 978-0078034664
