Question: Consider a situation with 5 assets making up the entire economy and the following expected rates of return and variance-covariance matrix: Find the expected return

Consider a situation with 5 assets making up the entire economy and the following expected rates of return and variance-covariance matrix:

Find the expected return and standard deviation of the efficient Market portfolio, assuming that CAPM holds and that the riskless rate Rf=2.1%.

Find the expected return and standard deviation of the complete portfolio for an investor with risk aversion index A=5. What fraction of his/her fund will the investor invest in risky portfolio.

0.059438 = -0.01951 0.028503 0.093015 0.018168 0.003978 0.002011 0.002044 0.002684 0.002674 V= 0.002011 0.004059 0.002044 0.000998 0.001862 0.002044 0.002044 0.00643 0.000821 0.001852 0.002684 0.000998 0.000821 0.007091 0.00272 0.002674 0.001862 0.001852 0.00272 0.006001

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