c) investor with mean-variance utility? 13. Suppose that your local bank has two funds available for...
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c) investor with mean-variance utility? 13. Suppose that your local bank has two funds available for you to choose from - one which invests in equities (E) and another that invests in sovereign debt (D). Furthermore, assume that E(re) is 12%, E(ra) is 2%, is E 18% and D is 10%. Assume the correlation between both funds is 0.30, and short-selling is not possible. Plot the possible asset allocations in an expected return - standard deviation graph. d) Assume the correlation between both funds is -0.30, and short-selling is not possible. Plot the possible asset allocations in an expected return - standard deviation framework. e) Consider the data provided in part (a) and compute the return and standard deviation of the portfolio that minimizes total portfolio variance. f) Consider the data provided in part (b) and compute the return and standard deviation of the portfolio that minimizes total portfolio variance. Activat Go to Set 25C c) investor with mean-variance utility? 13. Suppose that your local bank has two funds available for you to choose from - one which invests in equities (E) and another that invests in sovereign debt (D). Furthermore, assume that E(re) is 12%, E(ra) is 2%, is E 18% and D is 10%. Assume the correlation between both funds is 0.30, and short-selling is not possible. Plot the possible asset allocations in an expected return - standard deviation graph. d) Assume the correlation between both funds is -0.30, and short-selling is not possible. Plot the possible asset allocations in an expected return - standard deviation framework. e) Consider the data provided in part (a) and compute the return and standard deviation of the portfolio that minimizes total portfolio variance. f) Consider the data provided in part (b) and compute the return and standard deviation of the portfolio that minimizes total portfolio variance. Activat Go to Set 25C
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