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Consider three assets assets described as follows. The correlation coefficients are The covariance matrix is W₁ = W₂ = Asset i μ₁, Expected Return on Asset i 1 11% 2 3% 1% W3 = 3 What are the weights of the minimum variance portfolio? P1,2 = -42%, P1,3 = 49%, P2.3 = -42%. Σ -0.030576 0.0784 0.028028 -0.025872 % to 2 decimal places % to 2 decimal places 6, Volatility of Asset i 26% 28% 22% % to 2 decimal places 0.0676 -0.030576 0.028028 -0.025872 0.0484

Consider three assets assets described as follows. The correlation coefficients are The covariance matrix is W₁ = W₂ = Asset i μ₁, Expected Return on Asset i 1 11% 2 3% 1% W3 = 3 What are the weights of the minimum variance portfolio? P1,2 = -42%, P1,3 = 49%, P2.3 = -42%. Σ -0.030576 0.0784 0.028028 -0.025872 % to 2 decimal places % to 2 decimal places 6, Volatility of Asset i 26% 28% 22% % to 2 decimal places 0.0676 -0.030576 0.028028 -0.025872 0.0484

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Consider three assets assets described as follows. The correlation coefficients are The covariance matrix is W₁ = W₂ = Asset i 1 2 3 W3 = Hi, Expected Return on Asset i 11% 3% 1% What are the weights of the minimum variance portfolio? P1,2 = -42%, P1,3 = 49%, P2,3 = -42%. 0.0676 -0.030576 0.028028 Σ -0.030576 0.0784 -0.025872 0.028028 -0.025872 0.0484 % to 2 decimal places o, Volatility of Asset i 26% 28% 22% % to 2 decimal places % to 2 decimal places
Transcribed Image Text:Consider three assets assets described as follows. The correlation coefficients are The covariance matrix is W₁ = W₂ = Asset i 1 2 3 W3 = Hi, Expected Return on Asset i 11% 3% 1% What are the weights of the minimum variance portfolio? P1,2 = -42%, P1,3 = 49%, P2,3 = -42%. 0.0676 -0.030576 0.028028 Σ -0.030576 0.0784 -0.025872 0.028028 -0.025872 0.0484 % to 2 decimal places o, Volatility of Asset i 26% 28% 22% % to 2 decimal places % to 2 decimal places
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