Consider two assets with mean returns, standard deviations and correlation matrix: = (0.05) =(0.04) c=(044) M...

 

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Consider two assets with mean returns, standard deviations and correlation matrix: = (0.05) =(0.04) c=(044) M =min xx-xx-1) Compute the covariance matrix . Consider the following portfolio optimization problem M (short positions allowed): M = min(x-11=1} Compute and plot a mean-variance efficient frontier for a portfolio consisting of these two assets. If the risk-free rate r/ = 0.01, what is the tangent portfolio? Consider the following portfolio optimization problem M2 (no short positions allowed): My minxx-xx=1^x20) Compute and plot a mean-variance efficient frontier for a portfolio consisting of these two assets. Compare the efficient frontiers of M and M2. Consider two assets with mean returns, standard deviations and correlation matrix: = (0.05) =(0.04) c=(044) M =min xx-xx-1) Compute the covariance matrix . Consider the following portfolio optimization problem M (short positions allowed): M = min(x-11=1} Compute and plot a mean-variance efficient frontier for a portfolio consisting of these two assets. If the risk-free rate r/ = 0.01, what is the tangent portfolio? Consider the following portfolio optimization problem M2 (no short positions allowed): My minxx-xx=1^x20) Compute and plot a mean-variance efficient frontier for a portfolio consisting of these two assets. Compare the efficient frontiers of M and M2.