很基本的题,就考了个对return和variance的理解 a.5%*w1+10%*(1-w1)=12%>w1=-40%15,000*-0.4=-6,000 short 6,000 r**k-free asset and long 21,000 market portfolio will replicate the ms investment return. vol of r**k free asset=0 (1-w1)^2*vol(market)=1.4^2*18%35.28%,the vol of th** investment ** 35.28% b.similar,(1-w1)^2*vol(market)=40%>w1=-50% short 7,500 r**k-free asset and long 22,500 market portfolio will h**e the same volatility of ms investment with highest return=5%*-0.5+10%*1.5=12.5%