II. Efficient portfolio(Use the data below to answer the problems.) Corr f 8 12 20 Portfolio...
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II. Efficient portfolio(Use the data below to answer the problems.) Corr f 8 12 20 Portfolio hB 0.3 0.2 0.5 A. B. Stdev 5 4 8 1 0.2 0.3 Common hP 0.1 120 0.2 50 0.7 20 0.2 1 0.5 0.3 0.5 1 Fin 1 0 0 25 4 12 Industry Dummy PE Size IT Mfg Covlnv 100 0 0 0.04412 -0.00368 -0.00735 0.08364 -0.02022 500 0 1 -0.00368 9000 1 0 -0.00735 -0.02022 -0.02022 0.02206 Cov 4 16 16 12 16 64 Please give a general expression of portfolios on the minimum variance boundary. Find the minimum variance portfolio C(hc) and the maximum Sharpe ratio portfolio Q(ho). II. Efficient portfolio(Use the data below to answer the problems.) Corr f 8 12 20 Portfolio hB 0.3 0.2 0.5 A. B. Stdev 5 4 8 1 0.2 0.3 Common hP 0.1 120 0.2 50 0.7 20 0.2 1 0.5 0.3 0.5 1 Fin 1 0 0 25 4 12 Industry Dummy PE Size IT Mfg Covlnv 100 0 0 0.04412 -0.00368 -0.00735 0.08364 -0.02022 500 0 1 -0.00368 9000 1 0 -0.00735 -0.02022 -0.02022 0.02206 Cov 4 16 16 12 16 64 Please give a general expression of portfolios on the minimum variance boundary. Find the minimum variance portfolio C(hc) and the maximum Sharpe ratio portfolio Q(ho).
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