QUESTION 2

MONTHLY Expected Returns, Standard Deviations, and Correlations July 1990 through December 2014, 294 months, returns are total stock market returns for the region)
			Correlation with:
Asset Class	Expected Return	Std. Deviation	US	Japan	Asia (non-Japan)	Europe
US	0.89%	4.34%	1.00	0.41	0.71	0.79
Japan	0.21%	5.97%	0.41	1.00	0.47	0.50
Asia (non-Japan)	0.96%	6.01%	0.71	0.47	1.00	0.75
Europe	0.74%	5.04%	0.79	0.50	0.75	1.00

6. Suppose you CANNOT short:

A. Now assume that the expected return 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?