What asset will the optimizer choose as the largest positive

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Assume that residual returns are uncorrelated, and that we will use an optimizer to maximize risk- adjusted residual return. Using the data in Table 10.3, what asset will the optimizer choose as the largest positive active holding? How would that change if we had assigned a = 1 for buys and a = - 1 for sells?

Text Book: Active Portfolio Management, 2/E By Grinold.o Management, 2/E By Grinold.

Reference no: EM13925426

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