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Unformatted text preview: 4 = 0 . 34 , 34 = 43 = 0 . 32 . Compute the weights in the minimum variance portfolio from Proposition 5.9. Compute the expected return and standard deviation of this portfolio . Note 1: This is a team project. There may be up to two students in each team only from same section. You will arrange your team. One submission per team is enough. Cooperation among teams is not allowed. Note 2: You will submit the items which are written bold. We accept paper submission. Teams who use Excel should submit it via email directly to grader (email@example.com), as well. 1...
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This note was uploaded on 12/31/2011 for the course MATH 423 taught by Professor Duran during the Winter '08 term at University of Michigan.
- Winter '08