If an investor wants an efficient portfolio with an expected daily return of 0.07 %, how should the investor allocate his or her capital to the six stocks and to the risk-free asset? Assume that the...


If an investor wants an efficient portfolio with an expected daily return of 0.07 %, how should the investor allocate his or her capital to the six stocks and to the risk-free asset? Assume that the investor wishes to use the tangency portfolio computed with the constraints −0.1 ≤ wj ≤ 0.5, not the unconstrained tangency portfolio.



May 26, 2022
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