CFA Level I sample question

CFA Level I Portfolio Mathematics question

Quantitative Methods / Portfolio Mathematics

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Portfolio Mathematics sample question

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Quantitative Methods

Portfolio Mathematics

Three portfolios have the following expected returns and standard deviations. The minimum acceptable return is 2%: Portfolio A, 8% and 10%; Portfolio B, 9% and 14%; Portfolio C, 7% and 8%. Roy safety-first selects:

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