Compute the monthly returns on the efficient portfolio
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Compute the monthly returns on the efficient portfolio


5. Using the efficient portfolio instead of the S&P 500:

a. Compute the monthly returns on the efficient portfolio.

b. Regress the average monthly returns of the stocks on their betas with respect to the efficient portfolio.

c. Explain your results in light of Propositions 3 and 4 from Chapter 9.

Hint
Accounts and Finance A portfolio defines the spread of investment products. An efficient portfolio gives the highest expected return for risk. More also, it offers the lowest level of risk for a particular expected return. An efficient frontier connects all these efficient portfolios.  ...

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