3. An investor invests his wealth on three stocks A, B and C. The stocks A,...

 

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3. An investor invests his wealth on three stocks A, B and C. The stocks A, B and C have expected rate of return = 9%, B = 12% and c = 15%. The risk-free rate is rf = 0.03. The covariance matrix of the three stocks is: TB TC TA 0.08 0.045 0.015 TB 0.045 0.25 0.07 TC 0.01 0.07 0.06 Table 1: Covariance matrix (a) Write an R program to find the mean and standard deviation of the portfolio such that the weight of stock A is twice that of stock B and twice of that of stock C. [4 marks] (b) Write an R program that plots the opportunity set available to any investor. [4 marks] (c) Write an R program to plot the capital market line. [4 marks] (d) Write an R program to find the minimal variance portfolio. What are the weights of stocks A, B and C in this portfolio. [5 marks] 3. An investor invests his wealth on three stocks A, B and C. The stocks A, B and C have expected rate of return = 9%, B = 12% and c = 15%. The risk-free rate is rf = 0.03. The covariance matrix of the three stocks is: TB TC TA 0.08 0.045 0.015 TB 0.045 0.25 0.07 TC 0.01 0.07 0.06 Table 1: Covariance matrix (a) Write an R program to find the mean and standard deviation of the portfolio such that the weight of stock A is twice that of stock B and twice of that of stock C. [4 marks] (b) Write an R program that plots the opportunity set available to any investor. [4 marks] (c) Write an R program to plot the capital market line. [4 marks] (d) Write an R program to find the minimal variance portfolio. What are the weights of stocks A, B and C in this portfolio. [5 marks]