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Suppose the risk-free return f=0.1 and the market return M=0.5 and volatility M=0.4, given a portfolio A with fair return A=1, under Security Characteristic Line,
Suppose the risk-free return f=0.1 and the market return M=0.5 and volatility M=0.4, given a portfolio A with fair return A=1, under Security Characteristic Line, please (1) calculate A of portfolio A; (2) determine portfolio A is aggressive or neutral or passive; (3) calculate the minimum possible variance for portfolio A and describe how we might assemble such portfolio from market portfolio and risk-free asset; (4) if the volatility of portfolio A is A=1.5, calculate the proportion of the volatility due to the market risk; (5) if we aim for a portfolio B with B=1.2, calculate cov(RB,RM) and the market risk we have to bear; (6) calculate the covariance between the return of portfolio A and B (i.e. cov(RA,RB))
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