Mean Variance Analysis
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This document discusses quadratic programming problems and the efficient frontier concept in portfolio optimization. It addresses combinations of risk-free rates and risky portfolios, how risky portfolio A relates to lending and borrowing at the risk-free rate, and how the efficient frontier is shaped when lending is allowed at the risk-free rate but borrowing is limited.
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Mean Variance Analysis
- 5. X 1 + X 1 + x 2 + x 3 - 1 = 0 0
- 8. An Impossible Shape for the Efficient Frontier
- 9. Combinations of Risk-Free Rate and Risky Portfolios A, B, G
- 10. Risky Portfolio A and Lending and Borrowing at the Rf Rate
- 11. Efficient Frontier with Lending but no Borrowing at the Rf Rate (100% Margin Limits)
- 12. Efficient Frontier with Different Lending and Borrowing Rates