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QUESTION

# For parts c),d) and e) of question 1 assume that there are only three assets in the economy; A, B, and C. The returns and standard deviations for the...

Are the above statements, c) d) and e) - TRUE, FALSE or UNCERTAIN? Please provide a brief explanation.

For parts c),d) and e) of question 1 assume that there are only three assets in theeconomy; A, B, and C. The returns and standard deviations for the three assets aregiven by:TA =5%, TB = 10%, TC = 12%CA=0%, OB = 10%, oc = 20%The correlation coefficient between assets B and C is:PB,C = 0.7We ask whether these three assets are Mean-Variance efficient. If you claim an assetis efficient prove it explicitly and if it is inefficient show a portfolio that dominatesit. In case you argue that it cannot be determined explain why(c) Asset A Mean-Variance efficient. (10 marks)(d) Asset B Mean-Variance efficient. (10 marks)(e) Asset C Mean-Variance efficient. (10 marks)