Question: 212 Chapter 8 A B C D E F G 1 1 A FOUR-ASSET PORTFOLIO PROBLEM Mean Variance-covariance, S returns 2 E(r) 0. 10 0.01

212 Chapter 8 A B C D E F G 1 1 A FOUR-ASSET PORTFOLIO PROBLEM Mean Variance-covariance, S returns 2 E(r) 0. 10 0.01 0.03 0.05 6% 4 0.01 0.30 0.06 -0.04 8% 0.03 0.06 0.40 0.02 10% 0.05 0.04 0.02 0.50 15% 8 Portfolio x 0.20 0.30 0.40 ).10 9 Portfolio y 0.20 0. 10 0.10 0.60 10 11 Portfolio x and y statistics: Mean, variance, covariance, correlation 12 Mean, E(x) 9. 10% Mean, E(ry) 12.00%

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