An investor chooses a portfolio that maximizes a mean-variance objective function. [Notation: ro: risk-free interest rate;...
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An investor chooses a portfolio that maximizes a mean-variance objective function. [Notation: ro: risk-free interest rate; : expected rate of return on asset j; o;: standard deviation of return on asset j: up: expected rate of return on the optimum portfolio P; op: standard deviation of the return on the optimum portfolio P: 0p: covariance between the rate of return on asset j and portfolio P.] At the investor's optimum, the following condition holds for every asset, j: A. (μ-ro)/3 = (up-ro)/op. B. (1y-To)/0₂p= (µp - To)/0₂. C. -To)/0,= (-ro)/a,, for every pair of assets i and j (i ‡ j). D. (ro)/0,= (μp - To)/0₂p. E. None of the above. Select one: A. --பீ-ம் B. C. D. E. An investor chooses a portfolio that maximizes a mean-variance objective function. [Notation: ro: risk-free interest rate; : expected rate of return on asset j; o;: standard deviation of return on asset j: up: expected rate of return on the optimum portfolio P; op: standard deviation of the return on the optimum portfolio P: 0p: covariance between the rate of return on asset j and portfolio P.] At the investor's optimum, the following condition holds for every asset, j: A. (μ-ro)/3 = (up-ro)/op. B. (1y-To)/0₂p= (µp - To)/0₂. C. -To)/0,= (-ro)/a,, for every pair of assets i and j (i ‡ j). D. (ro)/0,= (μp - To)/0₂p. E. None of the above. Select one: A. --பீ-ம் B. C. D. E.
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Managing Supply Chain and Operations An Integrative Approach
ISBN: 978-0132832403
1st edition
Authors: Thomas Foster, Scott E. Sampson, Cynthia Wallin, Scott W Webb
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