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problem: Assume there are 3 risky assets, A, B & C with the following expected returns, standard deviations of returns and correlation coefficients.

E (rA­)= 4%                    S.DEVA=5%                              rA, B=0.7

E (rB­)=5%                     S.DEVB=7%                               rA, C=-0.2

E (rC­) =15%                  S.DEVC=10%                             rB,C=0.3

Think about a world where there are no risk free assets, & just these 3 risky assets. Assume short sales are permitted. Answer for the weights and variance of the global minimum variance portfolio. If short sales are not permitted is the solution affected?

Portfolio Management, Finance

  • Category:- Portfolio Management
  • Reference No.:- M919622

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