) In a market with three assets, the portfolios P1 = (0.6, 0.3, 0.1) and P2...

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) In a market with three assets, the portfoliosP₁ = (0.6, 0.3, 0.1) and P₂ =(- 0.2, 0.5, 0.7) lie on the Minimum Variance Set.The portfolios have returns 12% and 4% respectively.
a) Find the portfolio on the MVS with return 14%.
b) Does the portfolio P = (0.1, 0.4, 0.5) lie on the MVS ?Explain.

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4.1 Ratings (633 Votes)

Part a let the portfolio on MVS with return 14 is made up of p portion of P1 and 1 p portion of P2 Hence 14 p x 12 1 p x 4 008p 004 Hence p 014 004 008 125 Hence the See Answer

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) In a market with three assets, the portfolios P1 = (0.6, 0.3, 0.1) and P2...

50.1K

Verified Solution

Question

Finance

) In a market with three assets, the portfoliosP₁ = (0.6, 0.3, 0.1) and P₂ =(- 0.2, 0.5, 0.7) lie on the Minimum Variance Set.The portfolios have returns 12% and 4% respectively.
a) Find the portfolio on the MVS with return 14%.
b) Does the portfolio P = (0.1, 0.4, 0.5) lie on the MVS ?Explain.

Answer & Explanation Solved by verified expert

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) In a market with three assets, the portfolios P1 = (0.6, 0.3, 0.1) and P2...

50.1K

Verified Solution

Question

Finance

) In a market with three assets, the portfoliosP1 = (0.6, 0.3, 0.1) and P2 =(- 0.2, 0.5, 0.7) lie on the Minimum Variance Set.The portfolios have returns 12% and 4% respectively.a) Find the portfolio on the MVS with return 14%.b) Does the portfolio P = (0.1, 0.4, 0.5) lie on the MVS ?Explain.

Answer & Explanation Solved by verified expert

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) In a market with three assets, the portfoliosP₁ = (0.6, 0.3, 0.1) and P₂ =(- 0.2, 0.5, 0.7) lie on the Minimum Variance Set.The portfolios have returns 12% and 4% respectively.
a) Find the portfolio on the MVS with return 14%.
b) Does the portfolio P = (0.1, 0.4, 0.5) lie on the MVS ?Explain.