Using the Markowitz model, calculation of the portfolio standard deviation does not require the:
A. Expected rate of return on the market portfolio.
B. Variance of each individual asset in the portfolio.
C. Weight of each individual asset in the portfolio, where the weight is determined by the portfolio value.
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Generally speaking, the factor that best explains a portfolio"s level of return and variation in return over time can be explained by:
A. target asset allocation decision.
B. investment manager"s skill with respect to market timing.
C. investment manager"s skill with respect to security selection.
Which one of the following is least likely one of the assumptions of capital market theory
A. Investors have heterogeneous expectations.
B. Markets are in equilibrium.
C. There are no taxes or transaction costs involved in buying or selling assets.
According to the Markowitz model of portfolio risk, any portfolio with 10 securities would require estimation of a total of:
A. 10 variance and 45 unique covariance statistics.
B. 100 unique variance or covariance statistics.
C. 50 unique variance or covariance statistics.
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