Question
There are three distinct frontier portfolios, A, B and C. Portfolio Expected Returns A) 0.1, B) 0.4, C)0.35 Standard Deviation A) 0.5, B) 0.8, C)
There are three distinct frontier portfolios, A, B and C.
Portfolio Expected Returns A) 0.1, B) 0.4, C)0.35
Standard Deviation A) 0.5, B) 0.8, C) missing
AB = -0.40 (No information given about 
a) Calculate the standard deviation of portfolio C. (5 marks)
b) Calculate the expected return on the global minimum variance portfolio. (15 marks)
c) Calculate the expected return on the tangent portfolio, given that the risk free rate is 0.02. (15 marks)
d) Discuss the limitations of the mean-variance approach to choosing among risky investments. (15 marks)
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Better Money
Authors: Lawrence H. White
1st Edition
1009327453, 978-1009327459
