A market consists of 100 stocks. All the stocks have mean return of 20% and risk...
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A market consists of 100 stocks. All the stocks have mean return of 20% and risk 10%. The returns of the stocks are independent. a) Find the weights of the portfolio of these stocks with the minimum possible risk and calculate the risk of this portfolio. (5 marks) b) On an (r, o) diagram, plot the Feasible Set and the Minimum Variance Set for these assets. Label your diagram clearly, mark all relevant values on each axis, and justify your diagram with the appropriate calculations. (5marks) A market consists of 100 stocks. All the stocks have mean return of 20% and risk 10%. The returns of the stocks are independent. a) Find the weights of the portfolio of these stocks with the minimum possible risk and calculate the risk of this portfolio. (5 marks) b) On an (r, o) diagram, plot the Feasible Set and the Minimum Variance Set for these assets. Label your diagram clearly, mark all relevant values on each axis, and justify your diagram with the appropriate calculations. (5marks)
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Related Book For
Business Statistics In Practice
ISBN: 9780073401836
6th Edition
Authors: Bruce Bowerman, Richard O'Connell
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