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  3. ) in a market with three assets, the portfolios p1

) In a market with three assets, the portfolios P1 = (0.6, 0.3, 0.1) and P2...

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Finance

) In a market with three assets, the portfoliosP1 = (0.6, 0.3, 0.1) and P2 =(- 0.2, 0.5, 0.7) lie on the Minimum Variance Set.The portfolios have returns 12% and 4% respectively.

a) Find the portfolio on the MVS with return 14%.

b) Does the portfolio P = (0.1, 0.4, 0.5) lie on the MVS ?Explain.

Answer & Explanation Solved by verified expert
4.1 Ratings (633 Votes)
Part a let the portfolio on MVS with return 14 is made up of p portion of P1 and 1 p portion of P2 Hence 14 p x 12 1 p x 4 008p 004 Hence p 014 004 008 125 Hence the    See Answer
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