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You have been provided with data on the following securities under consideration for an investment portfolio. The risk-free rate is 2.0% and o?m= 9. Security

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You have been provided with data on the following securities under consideration for an investment portfolio. The risk-free rate is 2.0% and o?m= 9. Security Expec Return Var Beta 0.6 1.2 12 0.8 9 0.4 1.5 1. 12 | 12 5 a. What is the optimum portfolio with no short sales allowed? (20 marks) b. What is the optimum portfolio with short sales allowed using the Lintner definition of definition of short sales? (15 marks) C. Based on the security data and optimal portfolio, what type of client would this portfolio be likely suited? (3 marks) d. What is the relationship between the weights of securities in the long only portfolio and the short sales allowed portfolio? (2 marks) You have been provided with data on the following securities under consideration for an investment portfolio. The risk-free rate is 2.0% and o?m= 9. Security Expec Return Var Beta 0.6 1.2 12 0.8 9 0.4 1.5 1. 12 | 12 5 a. What is the optimum portfolio with no short sales allowed? (20 marks) b. What is the optimum portfolio with short sales allowed using the Lintner definition of definition of short sales? (15 marks) C. Based on the security data and optimal portfolio, what type of client would this portfolio be likely suited? (3 marks) d. What is the relationship between the weights of securities in the long only portfolio and the short sales allowed portfolio? (2 marks)

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