Flashcard Set Preview
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| 1 |
Each efficient portfolio represents weights on each of the asset
classes. The only constraint...
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the sum of all the weights should
be equal to one.
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| 2 |
If we add an additional constraint of no short sales, we restrict the value of the weights...
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greater than or equal to zero.
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| 3 |
Our optimization (to determine efficient portfolio with an expected return of
k and given...
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| 4 |
Here we have an additional constraint that the weight of each asset class be
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non-negative.
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| 5 |
In case of a constrained optimization (no short sales in this case), the minimum variance frontier...
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a smooth curve to one with corner portfolios.
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