Consider three risky assets with expected return R1, R2, R3. The covariance matrix and the expected...

 

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Consider three risky assets with expected return R1, R2, R3. The covariance matrix and the expected rates of return are C = 2 10 2 0.4 --(11)--() 0 2 m = 0.8 0.8 (1) (5 pts) Find the minimum variance portfolio V. (2) (5 pts) Suppose there is an additional asset with (4, 4) P2,4 = (1) = (1.37,0.2), P1,4 = 0.35, -0.1, and p3,4 = 0.8. Consider a new portfolio V' which combines this asset with the portfolio V associated to your answer to (1) (i.e., Ry = w R4 + w Rv ). If w = 0.2, w = 0.8, compute the variance of your new portfolio . Consider three risky assets with expected return R1, R2, R3. The covariance matrix and the expected rates of return are C = 2 10 2 0.4 --(11)--() 0 2 m = 0.8 0.8 (1) (5 pts) Find the minimum variance portfolio V. (2) (5 pts) Suppose there is an additional asset with (4, 4) P2,4 = (1) = (1.37,0.2), P1,4 = 0.35, -0.1, and p3,4 = 0.8. Consider a new portfolio V' which combines this asset with the portfolio V associated to your answer to (1) (i.e., Ry = w R4 + w Rv ). If w = 0.2, w = 0.8, compute the variance of your new portfolio .