# Question: Assume the information given in Problem 1 but that short

Assume the information given in Problem 1 but that short sales are not allowed. Set up the formulation necessary to solve the portfolio problem.

In Problem 1

In Problem 1

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Consider the following data. What is the optimum portfolio, assuming short sales are allowed (standard definition)? Trace out the efficient frontier. A. If the Blume adjustment equation is fit and the appropriate equation is βit + 1 = 0.41 + 0.60 βi, t What is your best forecast of beta for each of the stocks in Question 1? B. If the parameters of the Vasicek technique ...Assume that all assumptions of the single-index model hold, except that the covariance between residuals is a constant K instead of zero. Derive the covariance between the two securities and the variance on a portfolio. Using the data from Problem 1, what is the optimum portfolio assuming short sales are allowed but riskless lending and borrowing are forbidden? In Problem 1 In Problem 5, what is the minimum amount that the $5 outcome would have to be changed to so that the investor is indifferent between the two investments? In Problem 5Post your question