Question
Two securities, A and B, have normally distributed returns with following parameters: A ~ (0.01,2) B ~ (0.02,5) = 0.3 1. Plot the feasible mean-standard
Two securities, A and B, have normally distributed returns with following parameters:
A ~ (0.01,2) B ~ (0.02,5)
= 0.3
1. Plot the feasible mean-standard deviation [, ] combinations assuming that the two securities are the only risky investment assets available and short-selling is not allowed.
2. Plot the feasible mean-standard deviation [, ] combinations assuming that the two securities are the only risky investment assets available and short-selling is allowed.
3. Show on a graph (standard deviation on the x-axis and mean on the y-axis) the portfolios that belong to the mean-variance efficient set.
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