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QotD: Question of the Day

January 26, 2011
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Dear Readers,
The answer to the previous question is -
A. The minimum variance portfolio is a portfolio of securities which has the lowest standard deviation of each of the individual component assets
Here, is the Question of the Day -

An investor makes the following statement,

While testing the weak-form of EMH the returns from a trading rule must be calculated excluding any transaction charges because they tend to skew the returns when the returns are negative.

  1. Transaction costs increase the losses when the returns are negative.
  2. Transaction costs involved in implementing the trading rule should be included.
  3. Transaction costs are public information and they should be included in the calculations..


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