Get (dollar) returns data on a developed market mutual fund (e.g., U.S.) and an emerging market fund.
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Question:
(i.e., multiply daily covariances by 252, weekly variances by 52, or monthly covariances by 12).
Using these numbers calculate the correlation and standard deviation per year. Explain and justify your selection of data for estimation. You may not receive full credit unless you argue why these data are appropriate for the assignment!
What is the minimum variance combination of funds (calculate portfolio weights), and what is its risk (annualized standard deviation)?
Under the assumptions above, what are the portfolio weights of the tangency or "market" portfolio?
Related Book For
Fundamentals of Cost Accounting
ISBN: 978-0077398194
3rd Edition
Authors: William Lanen, Shannon Anderson, Michael Maher
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