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suppose that at the beginning of Year 2 0 2 4 you create an optimal portfolio tracking russell 3 0 0 0 and earning at

suppose that at the beginning of Year

2024

you create an optimal portfolio tracking russell

3000

and earning at least

2 %

per year above the expected return on the russell

3000 .

You want to minimize the variance of the tracking errors. What is your optimal portfolio? What is the factor sensitivity of your treacking errors to these risk factors?

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