True or False 12. If you have the historical data of S&P500 index level in the last...

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True or False
12. If you have the historical data of S&P500 index level inthe last 5 years, you can compute the returns of investment in 500stocks in the S&P500. Assume you know the 500 constituents.
13. If you just watched bad news on the market on CNBC and ifyou believe the market risk premium is 0.5% for the next month and,you should short sell the market to maximize your Sharpe ratio.
14. A portfolio’s net return is a weighted arithmetic average ofthe net returns of its constituents while the portfolio’s long-termholding period return is the sum of the net returns of theportfolio in each period.
15. When you mix multiple risky assets to maximize Sharpe ratio,you should invest at least $1 in all assets for diversification ifshort sale is not allowed. It means that your optimal weights areall positive and there are no zeros.

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12 True the SP index value tells the weighted average value of market capitalization of all 500 stocks By taking index value of last 5 years we can calculate the returns on its 500 stocks which will be the weighted average return SP index Sum of market capitalization of all 500 stocks Index divisor See Answer

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True or False12. If you have the historical data of S&P500 index level inthe last 5 years, you can compute the returns of investment in 500stocks in the S&P500. Assume you know the 500 constituents.13. If you just watched bad news on the market on CNBC and ifyou believe the market risk premium is 0.5% for the next month and,you should short sell the market to maximize your Sharpe ratio.14. A portfolio’s net return is a weighted arithmetic average ofthe net returns of its constituents while the portfolio’s long-termholding period return is the sum of the net returns of theportfolio in each period.15. When you mix multiple risky assets to maximize Sharpe ratio,you should invest at least $1 in all assets for diversification ifshort sale is not allowed. It means that your optimal weights areall positive and there are no zeros.