1. Expected Return E ( r ) & Standard Deviation found for 12 asset classes.

	E(r )	Std Dev
T-bills	2.00%	0.00%
us_bd1	9.21%	10.53%
us_bd2	5.21%	10.56%
us_st1	10.31%	16.82%
us_st2	12.40%	14.58%
us_st3	10.40%	16.51%
dev_st1	8.29%	15.08%
dev_st2	8.52%	14.02%
dev_st3	8.50%	13.10%
a1_gold	5.37%	11.51%
a2_pe	8.13%	14.37%
a3_us_re	7.76%	12.97%
a4_int_re	7.04%	13.88%

2. Var-CoVar Matrix.

					Variance-Covariance Matrix
	us_bd1	us_bd2	us_st1	us_st2	us_st3	dev_st1	dev_st2	dev_st3	a1_gold	a2_pe	a3_us_re	a4_int_re
us_bd1	0.01109	0.009441	0.01716	0.015131	0.016901	0.012333	0.011342	0.012835	0.01119	0.01405	0.011817	0.013051
us_bd2	0.0094	0.011141	0.0128	0.012301	0.012722	0.010344	0.009291	0.01047	0.010829	0.01111	0.009536	0.012337
us_st1	0.0172	0.0128	0.02829	0.02346	0.027739	0.018055	0.016785	0.019886	0.016655	0.02269	0.0197	0.018354
us_st2	0.0151	0.0123	0.0235	0.02127	0.02325	0.018577	0.017243	0.018575	0.014273	0.0199	0.016587	0.018646
us_st3	0.0169	0.0127	0.0277	0.0233	0.027256	0.018277	0.017024	0.019888	0.016204	0.02253	0.019589	0.018414
dev_st1	0.0123	0.0103	0.0181	0.0186	0.0183	0.022742	0.0211	0.018282	0.009402	0.01895	0.012633	0.019655
dev_st2	0.0113	0.0093	0.0168	0.0172	0.0170	0.0211	0.019655	0.017092	0.00834	0.01771	0.012112	0.018029
dev_st3	0.0128	0.0105	0.0199	0.0186	0.0199	0.0183	0.0171	0.017164	0.010996	0.01834	0.014881	0.017012
a1_gold	0.0112	0.0108	0.0167	0.0143	0.0162	0.0094	0.0083	0.0110	0.013244	0.01221	0.010587	0.012194
a2_pe	0.0140	0.0111	0.0227	0.0199	0.0225	0.0190	0.0177	0.0183	0.0122	0.02064	0.016813	0.017331
a3_us_re	0.0118	0.0095	0.0197	0.0166	0.0196	0.0126	0.0121	0.0149	0.0106	0.0168	0.016822	0.012509
a4_int_re	0.0131	0.0123	0.0184	0.0186	0.0184	0.0197	0.0180	0.0170	0.0122	0.0173	0.0125	0.019266

Part A: please find the asset class allocation that provided a minimum variance portfolio (MVP), Optimal portfolio, in the table below, Given the data above

us_bd1

us_bd2

us_st1

us_st2

us_st3

dev_st1

dev_st2

dev_st3

a1_gold

a2_pe

a3_us_re

a4_int_re

Sum of Asset class weight = 1

E (r )

Var

Std dev

SHR

Minium Variance Portfolio

Optimal Portfolio

"A" or Risk-Adversion peramter Portfolio