Sub: Finance Topic: Portfolio management
Calculation of variance of portfolio.
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Suppose there are three risky assets, A, B and C with the following expected returns, standard
deviations of returns and correlation coefficients.
E (rA)= 4% S.DEVA=5% A, B=0.7
E (rB)=5% S.DEVB=7% A, C=-0.2
E (rC) =15% S.DEVC=10% B,C=0.3
QUESTION 1: Solving for the Global Minimum Variance Portfolio
Consider a world where there are no risk free assets, and just these three risky assets.
Suppose short sales are permitted. Solve for the weights and variance of the global