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In a small stock market, there are three assets. The corresponding covariance matrix and the expected rates of return are respectively = [ 3 1
In a small stock market, there are three assets. The corresponding covariance matrix
and the expected rates of return are respectively
i Find the optimal portfolio with an expected rate of return by using two fund
theorem.
ii Assume now there is a riskfree asset with rate of return Find the optimal
portfolio with an expected rate of return by using one fund theorem.
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