61 quarterly.f return data is provided for three assets: US Equities, Emerging Market {EM} Equities and Developed Markets iEAFE} ex US are provided in Excel le "Test 2.xlsx" in tab "MU Optimize". [Please note that this is the same data set as for the qUEstion on Risk Parity]. Create a MV optimized portfolio that generates a return of 1.8% per quarter, and ensure that each asset has a minimum allocation of 5% and maximum of 100%. The volatilitv of this portfolio is: O 1D.15% per quarter C: 113.1 1% per quarter 0 No answer is possible since the required return is too low. O No correct answer is provided for this question C) 113.54% per quarter Quarter EM EAFE US EW Portfolio 1 -0.64 4.16 7.67 3.73 2 -1.36 4.05 5.67 2.78 3 6.04 2.92 6.44 5.13 4 4.10 1.64 3.74 3.16 5 -3.69 -0.05 2.27 -0.49 -0.59 1.65 7.28 2.78 8.13 -1.51 1.13 2.58 8 8.21 12.27 15.84 12.10 9 -9.40 -0.64 8.96 -0.36 10 -19.26 -8.08 1.66 -8.55 11 6.01 13.79 12.88 10.88 12 -26.92 1.12 2.35 -7.81 13 -24.86 -15.26 -16.28 -18.78 14 16.54 18.85 22.68 19.34 15 11.72 1.45 3.83 5.66 16 21.83 2.58 7.53 10.63 17 -5.29 4.36 -7.53 -2.82 18 22.67 15.75 14.24 17.53 19 2.39 -0.05 4.89 2.41 20 -10.72 -3.98 -2.01 -5.56 21 -13.93 -8.35 -0.77 -7.67 22 -14.39 -2.65 -8.96 -8.66 23 -7.10 -15.51 -14.47 -12.35 24 5.82 0.80 8.81 5.14 25 -25.05 16.66 18.01 -19.89 26 24.04 7.54 11.50 14.35 27 10.46 1.01 0.90 4.12 28 -8.73 -2.23 -16.35 -9.09 29 -16.40 -21.95 -12.95 -17.08 30 8.51 6.14 4.13 6.2630 8.51 6.14 4.13 6.26 31 -5.52 -7.55 -1.93 -4.99 32 21.67 16.80 14.63 17.68 33 13.13 9.89 4.81 9.27 34 15.41 13.91 9.53 12.93 35 9.88 5.60 2.84 6.10 36 -10.50 -0.86 -0.39 -3.91 37 9.13 1.08 0.70 3.63 38 14.52 12.58 7.17 11.41 39 3.23 0.50 -1.85 0.63 40 3.37 -1.37 3.16 1.72 41 16.10 9.81 3.59 9.82 42 7.05 4.82 2.02 4.63 43 13.10 9.90 5.26 9.41 44 -4.59 0.33 -1.31 -1.85 45 3.68 4.13 3.36 3.72 46 15.90 9.18 7.27 10.78 47 2.21 4.28 1.54 2.67 48 15.39 6.97 6.45 9.59 49 13.39 2.07 1.82 5.75 50 2.53 2.31 -4.79 -1.52 51 -10.76 -8.32 -6.55 -8.54 52 -3.35 -4.53 -4.83 -4.23 53 -29.67 -20.31 -10.05 -19.99 54 -31.94 -23.16 -25.26 -26.76 55 2.70 -13.50 -9.80 -6.86 56 29.56 23.01 14.49 22.33 57 17.26 14.58 11.80 14.53 58 8.51 4.02 8.46 6.99 59 4.11 2.12 6.54 4.25 60 -11.29 -16.72 -13.17 -13.71 61 18.61 16.48 11.73 15.59EM EAFE US EW Portfolio Average Return 1.98 1.26 1.71 1.65 Volatility 14.01 10.06 9.24 10.40 Correlation EM EAFE US EW Portfolio EM 1.00 EAFE 0.83 1.00 US 0.76 0.87 1.00 EW Portfolio 0.94 0.95 0.92 1.00 Covariance EM EAFE US EW Portfolio EM 196.17 116.74 98.41 137.11 EAFE 116.74 101.20 81.32 99.75 US 98.41 81.32 85.42 88.39 EW Portfolio 137.11 99.75 88.39 108.20 Allocation EM EAFE US Total Weight 0.33 0.33 0.33 1.00 Beta EM EAFE US Weight 1.27 0.92 0.82 MCR EM EAFE US Total 4.38 3.19 2.83 10.40