You are a portfolio manager serving U.S. clients. You wish to construct for the next year an
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Question:
You are a portfolio manager serving U.S. clients. You wish to construct for the next year an optimal risky portfolio composed ofequity indices from three developed markets and three emerging markets. Use the solver function of Excel to create the minimum variance portfolio and the efficient frontier.
- Find the optimal risky portfolio formed from the six country index portfolios.
- Does it entail a short position in any index? If yes, redo the Question 1 imposing a constraint barring short positions.
- Find the minimum variance portfolio.
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