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If the weights of the following tangency portfolio are as follows: Share A = 30% Share B = 45% and Share C = 25%. And
If the weights of the following tangency portfolio are as follows: Share A = 30% Share B = 45% and Share C = 25%. And the shares have the following variances and covariances:
risk free 5%
variance/covariance | ||||
a | b | c | expected return | |
a | 0.65 | 0.32 | 0.45 | 0.20 |
b | 0.32 | 0.75 | 0.68 | 0.11 |
c | 0.45 | 0.68 | 0.80 | 0.14 |
Calculate the covariance between each share and the market? A. CovA,M = 0.7959; CovB,M = 1.0639; CovC,M = 1.1300 B. CovA,M = 0.2388; CovB,M = 0.4787; CovC,M = 0.2825 C. CovA,M = 0.4260; CovB,M = 0.7875; CovC,M = 0.4825 D. CovA,M = 0.4515; CovB,M = 0.6035; CovC,M = 0.6410 E. None of the above
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