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 Return 10% 2% 8% Volatility 18% 2% 12% Correlation A B C A 1 -0.2 0.7 B 1 0.1 C 1

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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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 Return 10% 2% 8% Volatility 18% 2% 12% Correlation A B C A 1 -0.2 0.7 B 1 0.1 C 1

 

 

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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