You are provided with the following details of four assets (Kauri, Rimu, Tawa and Matai). Excess...

Transcribed Image Text:

You are provided with the following details of four assets (Kauri, Rimu, Tawa and Matai). Excess returns Variance co-variance matrix (VCV) Kauri Rimu Tawa Matai Kauri 0.03 Kauri 0.04 0.05 0.03 0.03 Rimu 0.06 Rimu 0.05 0.08 0.07 0.05 Tawa 0.05 Tawa 0.03 0.07 0.10 0.06 Matai 0.07 Matai 0.03 0.05 0.06 0.07 (REMINDER: Answers should be expressed in decimal form. For instance you should enter 5.12% as 0.0512.) Required: Calculate the variance of the Markowitz optimal portfolio: You are provided with the following details of four assets (Kauri, Rimu, Tawa and Matai). Excess returns Variance co-variance matrix (VCV) Kauri Rimu Tawa Matai Kauri 0.03 Kauri 0.04 0.05 0.03 0.03 Rimu 0.06 Rimu 0.05 0.08 0.07 0.05 Tawa 0.05 Tawa 0.03 0.07 0.10 0.06 Matai 0.07 Matai 0.03 0.05 0.06 0.07 (REMINDER: Answers should be expressed in decimal form. For instance you should enter 5.12% as 0.0512.) Required: Calculate the variance of the Markowitz optimal portfolio:

Answer rating: 100% (QA)

Step 1 Create a weight vector W representing the proportion of each asset in the portfolio Since we ... View the full answer