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Use the following information about two stocks ( Squid Canneries Ltd - SCL , The Android's Dungeon - TAD ) , T - Bill, market
Use the following information about two stocks Squid Canneries Ltd SCL The Android's Dungeon TAD TBill, market portfolio, and Dr Nick Riviera's portfolio to answer questions below:
Asset Price per share$ Expected return Variance Covariance with rm
SCL
TAD
TBill
Market
Dr Nick Riviera's portfolio: he owns shares of SCL $market value of TBills, and he has sold short shares of TAD.
d Construct the optimal portfolio under the CAPM for Dr Nick with the same variance as his current portfolio. hint: what is the optimal behavior of investors according to the CAPM?
Group of answer choices
The weight of market portfolio is
The weight of market portfolio is
The weight of market portfolio is
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