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Use the variance-covariance matrix below for securities X, Y, and Z to answer the following questions 24 -10 9 -10 75. 3 9 3. 12
Use the variance-covariance matrix below for securities X, Y, and Z to answer the following questions
24 -10 9
-10 75. 3
9 3. 12
- Calculate the variance of a portfolio with 30% invested in X, 30% invested in Y, and 40 % invested in Z.
- Calculate the covariance of a portfolio that has 12% in asset 1, 75% is asset 2, and 13% in asset 3 with a second portfolio that has 125% in asset 1, -10% in asset 2, and -15% in asset 3.
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