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Table 1: Data for Mean-Variance Portfolio Optimization Stock A Stock B Stock C 2% 8% 2% 12% Return Volatility Correlation A B C 10% 18% A 1 B -0.2 1 C 0.7 0.1 1

Table 1: Data for Mean-Variance Portfolio Optimization Stock A Stock B Stock C 2% 8% 2% 12% Return Volatility Correlation A B C 10% 18% A 1 B -0.2 1 C 0.7 0.1 1

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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There are three stocks, A, B, and C, with the following expected return, volatility, and correlation data. You are asked to generate a mean-variance portfolio, the expected return of which should be no less than 8%. What’s your optimal allocation (portfolio weights) for those three stocks?

 

 

Table 1: Data for Mean-Variance Portfolio Optimization Stock A Stock B Stock C 2% 8% 2% 12% Return Volatility Correlation A B с 10% 18% A 1 B -0.2 1 с 0.7 0.1 1
Transcribed Image Text:Table 1: Data for Mean-Variance Portfolio Optimization Stock A Stock B Stock C 2% 8% 2% 12% Return Volatility Correlation A B с 10% 18% A 1 B -0.2 1 с 0.7 0.1 1
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