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this envelope set. 1 23456 4 A B C D E A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance 0.01 0.30 0.06 -0.04 0.10 0.01 0.03 0.05 0.03 0.06 0.40 0.02 0.05 -0.04 0.02 0.50 F Mean returns 6% 8% 10% 15% You should get a graph that looks something like the following:

this envelope set. 1 23456 4 A B C D E A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance 0.01 0.30 0.06 -0.04 0.10 0.01 0.03 0.05 0.03 0.06 0.40 0.02 0.05 -0.04 0.02 0.50 F Mean returns 6% 8% 10% 15% You should get a graph that looks something like the following:

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
Problem 1PS
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4.Calculate the envelope set for the four assets below and show that the individual assets all lie within this envelope set. 1 2 3 4 5 6 Mean return 20% 18% 16% 14% 12% 10% 8% 6% 4% You should get a graph that looks something like the following: 2% A 0% B E A FOUR-ASSET PORTFOLIO PROBLEM 20% Variance-covariance 0.01 0.30 0.10 0.01 0.03 0.05 0.06 -0.04 C 0.03 0.06 0.40 0.02 30% D 0.05 -0.04 0.02 0.50 Stock A F Efficient Frontier Showing the Individual Stocks Mean returns 6% 8% 10% 15% 40% 50% Stock B Standard deviation 60% Stock C Stock D 70% 80%
Transcribed Image Text:4.Calculate the envelope set for the four assets below and show that the individual assets all lie within this envelope set. 1 2 3 4 5 6 Mean return 20% 18% 16% 14% 12% 10% 8% 6% 4% You should get a graph that looks something like the following: 2% A 0% B E A FOUR-ASSET PORTFOLIO PROBLEM 20% Variance-covariance 0.01 0.30 0.10 0.01 0.03 0.05 0.06 -0.04 C 0.03 0.06 0.40 0.02 30% D 0.05 -0.04 0.02 0.50 Stock A F Efficient Frontier Showing the Individual Stocks Mean returns 6% 8% 10% 15% 40% 50% Stock B Standard deviation 60% Stock C Stock D 70% 80%
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