Answered step by step
Verified Expert Solution
Question
1 Approved Answer
1. Calculate the weighted covariance matrix 2. Calculate each portfolio weight & determine the lowest risk portfolio A B C D Mean 8.9% 8.6% 11.8%
1. Calculate the weighted covariance matrix
2. Calculate each portfolio weight & determine the lowest risk portfolio
| A | B | C | D | |
| Mean | 8.9% | 8.6% | 11.8% | 14.7% |
| Std | 12.3% | 8.3% | 17.6% | 15.1% |
| Covariance Matrix | ||||
| A | B | C | D | |
| A | 0.015190 | 0.001628 | 0.015597 | 0.014468 |
| B | 0.001628 | 0.006926 | (0.001246) | 0.002592 |
| C | 0.015597 | (0.001246) | 0.031066 | 0.021539 |
| D | 0.014468 | 0.002592 | 0.021539 | 0.022858 |
Step by Step Solution
★★★★★
3.39 Rating (124 Votes )
There are 3 Steps involved in it
Step: 1
Get Instant Access with AI-Powered Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Fundamentals Of Biostatistics
Authors: Bernard Rosner
8th Edition
130526892X, 978-1305465510, 1305465512, 978-1305268920
