I'm trying to answer question 12

Suppose stocks D, E and F monthly returns have the following mean and variances:

Stock D: Mean () of 1.1%, and Variance ( 2 ) of 0.0064 - i.e. monthly volatility of 8%

Stock E: Mean () of 0.5%, and Variance ( 2 ) of 0.0025 - i.e. monthly volatility of 5%

Stock F: Mean () of 0.7%, and Variance ( 2 ) of 0.0036 - i.e. monthly volatility of 6%

o Stocks D and E have pairwise covariance of 0.0017

o Stocks D and F have pairwise covariance of 0.0028

o Stocks E and F have pairwise covariance of 0.0013

11) Find a portfolio with 6.5% standard deviation, and the highest expected return, which involves no shortselling. What are the weights, and the expected return for this portfolio?

12) What is the expected return and volatility of a portfolio that is invested 50% in the risky portfolio of previous question, and 50% in risk-free asset? Assume monthly risk-free rate is 0.2%