Question: 4. Consider three securities: A, B,and C. Their expected returns and covariance matrix are: E 0.0207 0.0021 0.0101 = 0.00482 0.000782 -0.000265 0.000782 0.001634 0.000099

4. Consider three securities: A, B,and C. Their expected returns and

4. Consider three securities: A, B,and C. Their expected returns and covariance matrix are: E 0.0207 0.0021 0.0101 = 0.00482 0.000782 -0.000265 0.000782 0.001634 0.000099 -0.000265 0.000099 0.003425 a) Find an efficient portfolio whose expected return is 2% b) Find the variance of an efficient portfolio whose expected return is 2%. c) What are the weights of the three assets for the global MVP? d) Determine the expected return and variance of the global MVP. 4. Consider three securities: A, B,and C. Their expected returns and covariance matrix are: E 0.0207 0.0021 0.0101 = 0.00482 0.000782 -0.000265 0.000782 0.001634 0.000099 -0.000265 0.000099 0.003425 a) Find an efficient portfolio whose expected return is 2% b) Find the variance of an efficient portfolio whose expected return is 2%. c) What are the weights of the three assets for the global MVP? d) Determine the expected return and variance of the global MVP

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