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

4. Suppose you are currently invested 100% in U.S. stocks and you CANNOT short:

A. Find the portfolio that maximizes expected return if you want the same risk of U.S. stocks.

B. What is the expected return of this portfolio and what are the portfolio weights?