Let X, Y, Z be the three assets, with VAR(X) = VAR(Y) = VAR(Z) = 1. Z is independent from X and Y , and COV(X, Y) = 0.2 . Assuming no short selling, what is the portfolio weight on Z that gives the smallest variance? (Hint: since Z is independent with X and %3D %3D Y, you may express wx and wy as a function of 1 - wz , and then find wz)

Let X, Y, Z be the three assets, with VAR(X) = VAR(Y) = VAR(Z) = 1. Z is independent from X and Y , and COV(X, Y) = 0.2 . Assuming no short selling, what is the portfolio weight on Z that gives the smallest variance? (Hint: since Z is independent with X and %3D %3D Y, you may express wx and wy as a function of 1 - wz , and then find wz)

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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