Posted: May 18th, 2021

finace investment . efficient diversification | INVESTMENT FINANCE | Baruch College

DUY DAY  today 8p.m NEW YORK TIMES

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Intro

You found the expected returns and variance-covariance matrix of returns for 3 stocks:

          Amazon       Walmart          Exxon

E(r)     36.9%           16.8%          4.5%

                            Amazon       Walmart          Exxon  

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Amazon             0.36   

Walmart            0.06                 0.16  

Exxon                0.1                  0.07                  0.09

Attempt 1/10 for 9.5 pts.

Part 1

1) Find portfolio weights, portfolio standard deviation when E(rp)=20% on the Efficient Frontier.

2) Find portfolio weights, portfolio standard deviation and portfolio expected return for the minimum variance portfolio.

3) Find portfolio weights, portfolio standard deviation and portfolio expected return for the optimal risky portfolio. Assume risk-free rate is 0.5%.

 

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