Question: please write with good hand writting 5) (10 p.) There are three securities in a portfolio. For each security, the geometric mean of rate of
please write with good hand writting
5) (10 p.) There are three securities in a portfolio. For each security, the geometric mean of rate of returns in ten years is shown in Table 1. The covariances between each security are shown in Table 2. It is assumed that shortsales are allowed. Table 1. Geometric mean of rate of returns for each security Security Security A Security B Security C Geometric mean i 8.50% 9.50% 7.50% Table 2. Covariances between rate of returns of securities Covariance Security A Security B Security C Security A 0.036 -0.006 0.011 Security B -0.006 0.014 0.055 Security C 0.011 0.055 0.005 Set the quadratic program to minimize the portfolio risk. 2
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