Problem Set 7 is due at the beginning of class on Tuesday, March 20. Here are some helpful hints:
- The least risky combination of Security A and Security B in Problem 1 is found by calculating and .
- It will always be the case for 2 security portfolios that by following the minimum variance portfolio weighting scheme in the previous bullet point, such a portfolio must have zero variance if or -1.
- In part B of Problem 2, the Sharpe Ratio for security j is .