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% r% A 14 13 B 12 15.5 C 17.33 18.5 D 20 19 E 20 20 F 23 21 G 26 21 H 36
% | r% | |
A | 14 | 13 |
B | 12 | 15.5 |
C | 17.33 | 18.5 |
D | 20 | 19 |
E | 20 | 20 |
F | 23 | 21 |
G | 26 | 21 |
H | 36 | 23 |
Five of these portfolios are efficient, and three are not. Which are the inefficient ones?
Suppose you can also borrow and lend at an interest rate of 10%. Whish of the above has the highest Sharpe ratio?
Suppose you are prepared to tolerate a standard deviation of 20%. What is the maximum expected return that you can achieve if you cannot borrow or lend?
What is your optimal strategy if you can borrow or lend at 10% and are prepared to tolerate a standard deviation of 15% What is the maximum expected return that you can achieve with this risk?
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