Pick ALL the true statements about the investment opportunity set analysis? Notation: B means bonds. S...
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Pick ALL the true statements about the investment opportunity set analysis? Notation: B means bonds. S means stocks. A B -23456781022215672222222 23 Input Data D E E(rs) E(B) PBS 10 5 Portfolio Weights WS-1-WB WB 19 Expected Return, E(rp) Col A*A3 + Col B*B3 8 0.2 Std Dev (Equation 6.6) -0.2 1.2 4.0 9.59 -0.1 1.1 4.5 8.62 0.0 1.0 5.0 8.00 9 0.0932 0.9068 5.5 7.804 0.1 0.9 5.5 7.81 0.2 0.8 6.0 8.07 0.3 0.7 6.5 8.75 0.4 0.6 7.0 9.77 0.5 0.5 7.5 11.02 0.6 0.4 8.0 12.44 0.7 0.3 8.5 13.98 0.8 0.2 9.0 15.60 0.9 0.1 9.5 17.28 19 1.0 0.0 10.0 19.00 1.1 -0.1 10.5 20.75 1.2 -0.2 11.0 22.53 22 Notes: 1. Negative weights indicate short positions. 24 2. The weights of the minimum-variance portfolio are computed using the formula in Footnote 1. I. The expected return, volatility, and correlation coefficients can be approximated from historical data. II. The spreadsheet provides an analysis of how the portfolio level return and risk can change when the portfolio weights on stocks and bonds change. III. Row 21: bond weight is -0.2 means that the investor will need to short bonds and use the money to buy more stocks. As a result, stock weight is 1.2 (i.e., 120%). I, II, and III I and II only II, III only None of the three choices Pick ALL the true statements about the investment opportunity set analysis? Notation: B means bonds. S means stocks. A B -23456781022215672222222 23 Input Data D E E(rs) E(B) PBS 10 5 Portfolio Weights WS-1-WB WB 19 Expected Return, E(rp) Col A*A3 + Col B*B3 8 0.2 Std Dev (Equation 6.6) -0.2 1.2 4.0 9.59 -0.1 1.1 4.5 8.62 0.0 1.0 5.0 8.00 9 0.0932 0.9068 5.5 7.804 0.1 0.9 5.5 7.81 0.2 0.8 6.0 8.07 0.3 0.7 6.5 8.75 0.4 0.6 7.0 9.77 0.5 0.5 7.5 11.02 0.6 0.4 8.0 12.44 0.7 0.3 8.5 13.98 0.8 0.2 9.0 15.60 0.9 0.1 9.5 17.28 19 1.0 0.0 10.0 19.00 1.1 -0.1 10.5 20.75 1.2 -0.2 11.0 22.53 22 Notes: 1. Negative weights indicate short positions. 24 2. The weights of the minimum-variance portfolio are computed using the formula in Footnote 1. I. The expected return, volatility, and correlation coefficients can be approximated from historical data. II. The spreadsheet provides an analysis of how the portfolio level return and risk can change when the portfolio weights on stocks and bonds change. III. Row 21: bond weight is -0.2 means that the investor will need to short bonds and use the money to buy more stocks. As a result, stock weight is 1.2 (i.e., 120%). I, II, and III I and II only II, III only None of the three choices
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