QUESTION 1

MONTHLY Expected Returns, Standard Deviations, and Correlations (1975-2014, 480 months), Portfolios are Top or Bottom Decile in Size or Book-to-Market Ratio
			Correlation with:
Asset Class	Expected Return	Std. Deviation	Large Stocks	Small Stocks	Value Stocks	Growth Stocks	Gold
Large Stocks	1.01%	4.30%	1.00	0.65	0.75	0.93	-0.01
Small Stocks	1.35%	6.10%	0.65	1.00	0.75	0.69	0.07
Value Stocks	1.51%	5.94%	0.75	0.75	1.00	0.65	0.01
Growth Stocks	0.95%	5.13%	0.93	0.69	0.65	1.00	0.00
Gold	0.54%	5.66%	-0.01	0.07	0.01	0.00	1.00

1. Suppose you CANNOT short:

A. What is the expected return and portfolio standard deviation of the tangency portfolio? What are the portfolio weights?

B. Does GOLD have any part in this portfolio? If yes, why is GOLD a useful part of the portfolio? If not, why is GOLD not part of it?