Question: Please Help me figure this out. Use the data provided to perform the following analysis. Calculate the efficient frontier assuming short sales are allowed; Calculate
Please Help me figure this out.
Use the data provided to perform the following analysis.
- Calculate the efficient frontier assuming short sales are allowed;
- Calculate the efficient frontier assuming no short sales are allowed;
- Graph both frontiers on the same set of axes.
| Variance-covariance matrix | ||||||||
| A | B | C | D | E | F | Mean returns | ||
| A | 0.0100 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0100 | |
| B | 0.0000 | 0.0400 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0200 | |
| C | 0.0000 | 0.0000 | 0.0900 | 0.0000 | 0.0000 | 0.0000 | 0.0300 | |
| D | 0.0000 | 0.0000 | 0.0000 | 0.1500 | 0.0000 | 0.0000 | 0.0400 | |
| E | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.2000 | 0.0000 | 0.0500 | |
| F | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.3000 | 0.0550 | |
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