Question: Exercise 1. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. Era] = .08, Erb) =

Exercise 1. You are a mean-variance optimizer with A = 2.

Exercise 1. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. Era] = .08, Erb) = .06, Var[ra] = .10, Var[rb) = .03, and rf=.03. Compute the optimal portfolio three times with Corr(ra, rB) equal to -.5, 0, and .5. Discuss the results. Exercise 1. You are a mean-variance optimizer with A = 2. There are two risky assets and one risk-free asset. Era] = .08, Erb) = .06, Var[ra] = .10, Var[rb) = .03, and rf=.03. Compute the optimal portfolio three times with Corr(ra, rB) equal to -.5, 0, and .5. Discuss the results

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