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Unformatted text preview: Expected Return Standard Deviation Fund A 0.08 0.10 Fund B 0.12 0.20 Fund C 0.15 0.30 The correlations between the funds are: Between Fund A and Fund B: 10% correlation Between Fund A and Fund C: 70% correlation Between Fund B and Fund C: -10% correlation. (a) Identify x min , z * , μ x min and σ x min . (b) Given that you want a variance of no more than 15%, what is the best return you can achieve, and what portfolio weights will give you this portfolio? (c) Using any appropriate software, draw the eﬃcient frontier for this example. You should submit all appropriate output. 3. Show that for the standard Markowitz model (with N risky assets), σ z * = 0 if and only if μ is a multiple of e ....
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This note was uploaded on 06/10/2010 for the course ACTSC 372 taught by Professor Maryhardy during the Winter '09 term at Waterloo.
- Winter '09