Question: Given the following variance-covariance matrix and expected returns vector (for assets X and Y, respectively) for a two-asset world: (a) What is the expected return

Given the following variance-covariance matrix and expected returns vector (for assets X and Y, respectively) for a two-asset world:

(a) What is the expected return of a zero-beta portfolio, given that 50% of the index portfolio is invested in asset X and asset Y?
(b) What is the vector of weights in the global minimum-variance portfolio?
(c) What is the covariance between the global minimum-variance portfolio and the zero- beta portfolio?
(d) What is the equation of the market line?

01 0 0 .0041. Rsp .11

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