mid_questions_09_Sample

# mid_questions_09_Sample - MGT330 Midterm Exam Sample 1 1(5...

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three fi ve-year intervals is r f . The three investors have the same degree of risk aversion. The correlations between the returns are corr(˜ r 1 , ˜ r 2 ) = 0 . 2 , corr(˜ r 2 , ˜ r 3 ) = 0 . 2 , corr(˜ r 1 , ˜ r 3 ) = 0 . 1 . Like in our class discussion, you can assume that E r 1 ) = E r 2 ) = E r 3 ) = ¯ r var(˜ r 1 ) = var(˜ r 2 ) = var(˜ r 3 ) = σ 2 where ¯ r and σ 2 are some unknown numbers.
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