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Based on Black-Litterman optimization, you obtained an optimal portfolio which invests 70% and 40% funds in stocks A and B and short-sells 10 percent of stock C. However, you are only 80% confident about your opinion. When the market capitalization of stocks A, B, and C are 6 million dollars, 3 million dollars, and 4 million dollars respectively, what are the confidence-adjusted portfolio weights?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91782038

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