Question: Please show formulas. MONTHLY Expected Returns, Standard Deviations, and Correlations July Iggo through December 2014, 294 months, returns are total stock market returns for the

Please show formulas. MONTHLY Expected Returns, Standard Deviations, and Correlations July Iggo through December 2014,

MONTHLY Expected Returns, Standard Deviations, and Correlations July Iggo through December 2014, 294 months, returns are total stock market returns for the region) Asset Class Jape n As,' (non-depan) Europe Expected Return 021% 096% 074% Std Deviation 597% 601% 504% 041 071 079 Jape n 041 047 Correlation with: Asia (non-Japen) 0.71 047 0.75 Europe 0 75 For the three questions below, assume risk-free rete of 0.24% per month. 4. Suppose you are currently invested 100% in U.S_ stocks and you CANNOT short: a. Find the portfolio that maximizes expected return ifyou want the same risk ofU S. stocks. b. What is the expected return of this portfolio and what are the portfolio weights? 5 _ Suppose you CANNOT short: a. What is the expected return and standard deviation ofthe tangency portfolio? What are the portfolio weights? b. Does JAPAN have any part in the tangency portfolio? Ifyes: why is JAPAN a useful part of the portfolio? If not, why is JAPAN not part of it? 6. Suppose you CANNOT short: Now assume that the expected retum for Japanese stocks is 0.96% per month (the same as Asia Pacific). What is the expected return and standard deviation of the tangency portfolio? What are the weights?

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