Question: Assume that you expect that the average return on a security in various markets is as shown in the following table. Assume further that the

Assume that you expect that the average return on a security in various markets is as shown in the following table. Assume further that the historical correlation coefficients shown in Table 12.1 are a reasonable estimate of future correlation coefficients.
Finally, assume the standard deviations shown in Table. Which markets are attractive investments for an American investor if the riskless lending and borrowing rate is 6%?

Expected Return (%) 14 16 14 15 15 Market Australia France Japan 2. 3. 4. 5. United Kingdom United States

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