Mean-Variance

a) Suppose all assets have the same expected rate of return 1, and the covariance matrix,, is non-singular. There is no risk-free asset. Describe the minimum variance set. b) Now assume expected rates of return are not all equal, the covariance matrix,, is nonsingular, and there is a risk-free asset. Suppose rf is equal to the expected rate of return on the global minimum-variance portfolio. Describe the mean-variance efficient set.

Question 3: Mean-Variance a) Suppose all assets have the same expected rate of return u =ul, and the covariance matrix, 2, is non-singular. There is no risk-free asset. Describe the minimum variance set. b) Now assume expected rates of return are not all equal, the covariance matrix, , is non- singular, and there is a risk-free asset. Suppose rf is equal to the expected rate of return on the global minimum-variance portfolio. Describe the mean-variance efficient set. Question 3: Mean-Variance a) Suppose all assets have the same expected rate of return u =ul, and the covariance matrix, 2, is non-singular. There is no risk-free asset. Describe the minimum variance set. b) Now assume expected rates of return are not all equal, the covariance matrix, , is non- singular, and there is a risk-free asset. Suppose rf is equal to the expected rate of return on the global minimum-variance portfolio. Describe the mean-variance efficient set