Consider a market with only 3 assets with expected rates of return of 10%, 20%, and 10% respectively. Assume that one can construct two portfolios w and v, with these assets such that these portfolios lie on the minimum-varianceset. Those portfolios are defined as follows: w=(0.6, 0.2, 0.2) and v= (0.8, -0.2, 0.4). Moreover, we assume that the market portfolio M is efficient.Using the two-fund theorem we know that the market portfolio can be expressed as a linear combination of w and v, M= x*w+ y*v for some constants x and y.Find the expression of the expected return of the market portfolio in terms of x and y.гм 3D0.12х +0.08yгм 3D0.08х +0.12yrм 3D0.6х +0.4yгм 3D0.4x +0.6уrм 30.8х +0.2уO O O

t. Those portfolios are defined as follows: w=(0.6, 0.2, 0.2) and v= (0.8, -0.2, 0.4). Moreover, we assume that the market portfolio M is eft ing the two-fund theorem we know that the market portfolio can be expressed as a linear combination of w and v, M= x*w+ y*v for some nd the expression of the expected return of the market portfolio in terms of x and y. M =0.12x +0.08y IM =0.08x +0.12y гм -0.6х +0.4y TM =0.4x +0.6y

t. Those portfolios are defined as follows: w=(0.6, 0.2, 0.2) and v= (0.8, -0.2, 0.4). Moreover, we assume that the market portfolio M is eft ing the two-fund theorem we know that the market portfolio can be expressed as a linear combination of w and v, M= xw+ yv for some nd the expression of the expected return of the market portfolio in terms of x and y. M =0.12x +0.08y IM =0.08x +0.12y гм -0.6х +0.4y TM =0.4x +0.6y

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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