Professional Documents
Culture Documents
Solutions To Exercises in The Markowitz Notes by James v. Burke
Solutions To Exercises in The Markowitz Notes by James v. Burke
"!#$
&%')(*+-,/. 021
3546 &7*89;:<)(*=<
9+)>8
?$@<MRACUXBG>D>Q2E*FHflmGJILUdKNKNn$MIOLGJPRM>Q$opSLTVUXKNM<WWaWq7orY[YrZ\U2Z\]^U'B2q7FLor_HY[MRQ`?$G@tILsUaILU'UXbPO7U'fhUdQ$cXPGUjUd]7_GILPUXUuGeLU'vwPFgcdKVfhUXQ$FPiGBjMFU'k G
WxUX}eLe~MRB2G)T\cXGJQ$Q|FLGMRILKVMRUiGW#QjfyKNFLBKVMRWKVFLe9n2WTVUt{jO7B2Q$PRKVKFB2GFLl<cXU2KN@GJIaUzb9O7Udc'GJUX_#PRUXGJe9PFaZ`B2FL_|{jB2PKVB2FLcXU
AhSDysILU0W#KNFLKVWxeLW{2BjPKBjFLcdUMQ2TVe9GKVQ$FKNM
o
Y UdL jj U U @^sILU0B2MMRQcXKBjGUd_
{j{jB2B2PRPRKKB2B2F9F9cdcdUU|KVO7MQ$o<KVFqyGQ$o
FHY[GJILUwACUzq\UXvwcd~KN+UdUFDG~)fhPY"Q$FGJ?KN
Ud\PX]@BjsFL_ILUdl<PRUXI9fhKVQ$cPRIUKNGJFILUfCBjW#cXGKNFLUdKV}Wxe~eLB2W TNM
GILUiUdFGJKNPUfhPRQ$FGJKVUXPd]LKNMA ~'ZD'@
@AhsI9DxUdPsUILB2UPRUOLTG*B2lF9QaFLUdltPBk&MM>O7UdGFLQa_LKVMFGJ?UXW#POLKNPRTUXG<Q$FrGJILGKNMILUOLPcXQ2Q$SLFLTVUXcXWUdPRG B2FL_;MRO UXFL_LMWwQ$PRU
w
W $
Q L
F X
U 5
k $
Q
F J
P 2
B N
K ¡
F V
K L
F R
M L
e J
P 2
B 9
F d
c 2
U 0
@
¢ d
U
P u
U |
£
¤
¥ §
¤ 9
¦ @
AC¨DxWwsILKVTVUTNKVQ$OLF`TBjFL_LFLQ2TVUdTPBjPMRM6O UXQ2FLFH_LGMIL¥5U|W#cdQ2KNTVFLTVcdKNQ$UXFxPRG_9l<Q$TVILTVB2UXPPMUwQ2£«F5¤pKVF9M¥/eLP¤¬B2FL?acdUMKNB2FLF9cd_gU¡?dA©?^W#ª¡KNT¥ KNMD
GJGJI9I9UUxUdOLFTVB2GJKNFLPFLUUXS9P6eLFL_LUXn$UdU'_LGtMfhQ$OLPmB2PRGGILFLUUdPRcdM6Q2FLGJQ#cdUXcdPRGQ$@Ww~UxQ$eLP0OGJILl<U6KNcdGJI Q$FLGJcXILUdUuP©GPUXGJQW5OLB2PRKNFLQKVcXF9Udn#UX_\¥ ]
® Q$TVe9WwGKVKVQ$TVF9TNKVMQ$FwfhQ$_LPQ$S7TNTQ2B2GJPRI`Md@ McXUdF~BjPKVQ2M>BjPUiOLPQ{&KV_9Ud_\@
AhDa¯
UXG#°S7UGILU PJBjGU«Q2f6PUXGeLPF±PJB2FL_9Q$W²{j~B2¹º¼P»9KVB2½XSL¾ TVUj@³E´flmUSLe9kµ¥
WwUzbKVO TNTVUXKNcXQ$GJF¶UX_«_LQ$O~TVBTVB2k2PQ$M5e9GQ2@fxsKNFLILMUXe9PPJU'B2fhQ$FLPcXUjU2] ]GJILUXF·°§Y ¸ ¼»9½ l<ILUXPU¿ÀKVMÁGILU
°iYÃÂÅÄ ½~¹Æ½X~¹Æ»½X¹Æ½d» ¼»¾ ¼¾ ¼¾ ]~]~KºKºffF9PB2Q#KVFyP@B2KVF\]
¹Æ½d» ¼¾
scXQ$I9FLUMRUdOL}PeLQ$UdSLFB2GSLTNkKVTNKNG*kiQ2f7UdB2cIaQ2fGJILUtG*lmQiUX{$UXFGJMd]7ÇRÈ2ÉËÊB2FL_¡ÊyÌiÇRÈ2ÉËÊ~]$KNMt?$]
Z ͲY ÎÁAC°2D)Y ? ¦iª
Ah¥Ahϧ¥Ï§?D ?D Ï ? j¥#ACª
¥Ï
Ah¥|?ϧD ?D Y LAh¥|? ϧ?D
Í Y ÎÁAC° Dª/Z Í Y¬Ð ¥ Ð ª³AC¥?Ï
j¥|?D 쵄 Ò
Ó UiI~B{$U Ô Í 2£2¥#ª/¦$£
Ô ¥ Y A©?mϵ¥ D
MRO7QQ$KNGFILGuU«GJILWwUÁKVFL{jKNB2WPRKeLB2WÕF9cdUÁ{2BjQ2PfKBjGFLILcdU¡U`PJMB×Q2GJÐ TVUÁe9GQ2KVfQ$FµPRUXQGJÄe9cXcdPF¶eLPRMÁKVMBjØXG#UdPR¥ÖQHYÕk&KNUd¦TV_9$KVFLn«BjG#Bl<n$I9e~KVB2cP+I Ù
UX?2F@ÛÚjGJWwUdUXKV_§T7KVPJF`BjGKNFLU«MeLQ2fiPB2PRFLUXcXGJUie9PfhFQ2P<Q2Bafan2?e~2B2ÚP@rUXFsGJUdI~UXB×_«GÁO~KVBMXk2]tQ$GJe9ILG>U«Q2OLf)TÜjB2¦9F9]ÝFL£2Ud£$P#£9]ÆM£$IL£$Q$£9e9@ TV_SLe9k
Þ
CGA IL¨UaDxcdE*Q$F¶F9GJcdILUdP©KNM|GMBjcdFLUX_³F~B2A¼PR$KVD6QgPJlBjKVU FHI~KVFLB{$MReLU`PJG*BjlmFLQcdUjKN@5F{2¯
UdUXM©GGJWw° UdFS7G5UaQ2GOLILO UwQ2PJPRBjGJGe9U|FLKNQ2GftKVUdPRMXUXHGJe9A©P?F D
Q2PB2FKVF¡GILKNFLUaMcde9Q$PJFLB2cXFLUdcXP©U2Gx KNF{2UdM©GJWwW#UXFGuB2F9_° S U|GILUa PJBjGUwQjftPU'GJeLPRFQ2FGILU
° Y Ä ~~ Y;Y"ª? ]L]LKºKºffF9PB2QwKVFyPB2@ KVFy]
~
Y"ª? ]LKºfF9QwPB2KVFy]
° Y ½ ½ Y"? ]LKºfPB2KVFy@
¦9@<ACBD
?
~ Y ª6? ª6Ð ª¦ ¦ 6
ª ?
¢UdFLcXUGILUiW#KNFLKVWxeLW-{2BjPÐ KBjFLcdUlmUdKNn$IGJMB2PU
~©U Y ? £?
U q ~ U ?
k&AhSKNUdDTV_9KVFLMn|UXcdBaQ$FLWw_KVFLUXKNvwWcdeLKNW-UdFG{jB2O PQ2KVB2PRGFLfhcdQ2UTVKVQxO7Q$KVMP©Gn$fhQ$Kº{$TNKVUdQF Q2SfkÁ°iGJY I9Ui lm° UdKNÏ n$I GJ° M @
o >Y W q ~ ~W U Y ? ª6¦Ú
k&KNUdTV_9KVFLnxGILUiUXvwcdKNUdFG>O Q$P©GfhQ$TNKVQu°Y A¼¦2° ª/j° ϱÚj° D'@
Ä
AhcDsILUW#B2P jUXG<O7Q$PRGRfhQ$TVKNQKVF¡GJI9KVMMU'GGKVFLnaI~B2MlmUdKNn$IGJM
ÒÒ Ð
GE´ f&QAC_L£9UXUXTVM?$KNKNW#dPªuUdKN_yF~?$]×BjGGJ$ILUuDUdGJk&MRILUKVUXU#lmTV_LPUdKVKNKNMFLn$nIGJfhGJM
PI9UXcdUU#B2UXFicXvwQ$S W#cdU)KNO7UdcXFQ$Q$GWFLUXO SLFQ$KNGuFLP©GUdGfh_QQ$TNl<n$KVQU'KNGGu°IGYGJILILU5U U'lmAC°vwUdKNcdn$ªKVIUXF°GJMmGxÏA©lm?2Udj£9KV° n2I£9D'G@JM £D q
@Ð <GACÄ ILBDUiscdQIL{jUB2PPJKVBjB2FLFL_LcXQ$UW W5Bj{$GUXPcXK GJb Q2P« Y¬AC° 6J° J° ÒÒÒ J° $D q Ä I~BjM6Sk«_9 U ~FLKºGJÄ KNQ$F
Y q Ò
¢UdFLcXU
ªo ? q ªo ?
{jB2PAho ° Ï Ïµo j° ª/° <D)Y @@ @@ Y·o q oxª6 q oÏ Ò
o o
AhSD
£ Y oª ª U
? Y Uq o
AhcD
o
Y; ~ Ï ?<ª/U q Uz qy~ ~U ~ U
Ah_DdAhKËD
£ Y oª ª W"ª U
? Y Uq o
Z ¤ W qo
£ ¤
£ Y ^ACW q o³ª/Z +D
cdB2MUlmUun2UXG
o
Y; ~ ÏrA+?ªU q ~ D U q ~~*U U Ï U q ~~©W W ª U q ~~©U U
!
"
l<I9UdPU
HY ACUzqy~©W5DXACUXqy~*UD A©?<ª U q ~ D ~ ACZ ª W q ~ Dª
ACU q ~ W5D
BjFL_
Ú@<AhACSBDD ZY Ò £ Ï
Ah_DÜÁ?$?
9@<ACBD Ó UILB{2U
Y[A+?<ª D ϱ A©?ª D Ï
BjFL_`MKVF9cdU §KVMtGILUiW#KNFLKVWe9Ô W {jB2PRKB2F9cdUO7Q$PRGRfhQ$TVKNQxlUiI~B{2U
£ Y Ô \
Y LA /ª D Ò
sI9UdPU'fhQ$PUj] ·Y"?$]LK¼@ÆUj@N] Y y @
AhSD 2eLM©G>MRQ$TN{2U£xY§cdQ{
Aho Jo DtfhQ2P GJQan$UXG HY @
@>OLOLTºk5GJI9U fhQ$PRWeLTBxGQan$UXG
Y ?mϵ° tÏ LZ ͸ ACZ ª/° D Y ? ?mÏ ?~£$A £$? £ ª ?D Y ? ?£$? £$£ Y $Ú Ò Ò
& '