Covariance of minimum variance portfolio

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Reference no: EM131825216

Consider the following time series of returns for ABC stock and the S&P500 Index:

Year= 1,2,3,4,5

Rabc Stock= -6%,3%,5%,12%,-15%

Rs&p Index= -4%,2%,3%,6%,-11%

What is the covariance of the minimum variance portfolio with the S&P index?

(a) -3.22; (b) 4.81; (c) 9.32; (d) 5.67;

Reference no: EM131825216

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