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1. ### Bodie EOC Question 8

Thanks David, I agree with you on what the intent of the exercise appears to be, but the way it's formulated states explicitly that "Ri is the excess return for security i." and (from the table) "E(Ri) = 10%, 12%, 14% for A, B, and C.". Therefore I don't see how we could logically compute...
2. ### Error in Miller's illustration of leptokurtosis

This is also well discussed here https://en.wikipedia.org/wiki/Kurtosis#Interpretation. The exercise in question (203.3) appears misleading to me since the analyst's conclusion makes sense only if we assume both portfolios have same variance (well explained in the paper "On the Meaning and Use...
3. ### Bodie EOC Question 8

I would like to propose two changes to the solution proposed in file R10.P1.T1.Bodie: The variances for the return are given in an arbitrary and unspecified dimension (e.g. "881" where the unit would be percent-squared i.e. per-ten thousand or base points). It would be much more correct to...
4. ### Market portfolio and derivative of weight?

I am having trouble reconciling the fact that the minimal variance portfolio has a positive quantity both A and B, with the formula for the optimal hedge ratio (Miller p.46), h* = −ρAB*σA/σB = -0.15, i.e. the minimal variance portfolio should short B, since A and B are positively correlated.