Question: Based on the management team expectations in the previous phase; they have decided to reduce their exposure to credit risk. But first, they need to

Based on the management team expectations in the previous phase; they

Based on the management team expectations in the previous phase; they have decided to reduce their exposure to credit risk. But first, they need to know the current exposure to that risk. It is your team resposibility to calculate that. Loans AB BC CD Expected return 5.80% 4.50% 5.70% 02 3.60% 2.90% 3.40% Weight Portfolio I Portfolio III Portfolio III AB BC CD 20.00% 80.00% 30.00% 70.00% 40.00% 60.00% AB BC -0.1 Correlation AB BC CD CD 0.21 0.4 1

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