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Determine the tangency portfolio of the three stocks (i.e. determine the weights that the three stocks...

Determine the tangency portfolio of the three stocks (i.e. determine the weights that the three stocks have in the portfolio:

Stock Std. Deviation Of the return Expected return Correlation with return on Y Correlation with return on Z
X 0,2 0,15 0,8 -0,1
Y 0,3 0,1 1 0,2
Z 0,25 0,12 0,2 1
R(f) 5%
X Y Z
Problem 1.1 + 1.2 X 0,04 0,048 -0,005
Y 0,048 0,09 0,015
Z -0,005 0,015 0,0625

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