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EFI Exercises 5_Portfolio choice 1. An investor uses the mean-variance criterion for selecting a portfolio...

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EFI Exercises 5_Portfolio choice 1. An investor uses the mean-variance criterion for selecting a portfolio of two risky assets. Asset 1 has an expected return of 20% and a variance of 4. Asset 2 has an expected return of 60% and a variance of 36. There is no risk-free asset available. (a) Explain how to construct the efficient portfolio frontier for the cases in which the cor- relation coefficient between the returns, P12, is equal to +1 and also when it is equal to -1. (b) Describe, in general terms, how to construct the portfolio frontier when -1

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