What is turnover in moving from mmi to the optimal portfolio

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1. What is the value added of the MMI? What is the value added of the optimal portfolio? What is the incremental value added?

2. What is the turnover in moving from the MMI to the optimal portfolio?

3. Now build a portfolio exactly halfway between the MMI and the optimal portfolio: h_p= (h_MMI+h_optimal)/2

What is the turnover in moving from the MMI to this intermediate portfolio? What is its value added? Compare the incremental value added of this portfolio over the MMI to that of the optimal portfolio over the MMI. Verify Eq. (16.10).

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

Reference no: EM13925316

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