Question 22: Note the incomplete) variance covariance matrix S shown in the spreadsheet. If the correlation between S1 and S2 is 0.45, that between S2 and S3 is 0.02, and that between S1 and S3 is 0.5, fill in the remaining elements of the variance-covariance matrix. Variance-covariance matrix S S2 S1 S1 S2 0.00090 0.00047 0.00054 0.00047 0.00123 0.00003 S3 0.00054 0.00003 0.00130 S3 Now that you have filled the Smatrix, follow the matrix solution procedure discussed in Module 6 to obtain the optimal portfolio P* Enter the weights obtained for each of the securities, with three decimal places. Inverse of the Variance-Covariance Matrix Excess Return Vector z Vector Optimal Portfolio s1 R-Rf weights, w Z Ws1 W2 Ws Sum 0 0.000 Enter the Sharpe ratio for P*, with two decimal places. Hint: recall that Expected return of a portfolio is the weighted average of the expected returns, and variance of a portfolio = WT-S-w, where w is the (column) vector of portfolio weights and wt is its transpose. Expected return of p* Variance of p* oof P* Sharpe ratio for P* Question 22: Note the incomplete) variance covariance matrix S shown in the spreadsheet. If the correlation between S1 and S2 is 0.45, that between S2 and S3 is 0.02, and that between S1 and S3 is 0.5, fill in the remaining elements of the variance-covariance matrix. Variance-covariance matrix S S2 S1 S1 S2 0.00090 0.00047 0.00054 0.00047 0.00123 0.00003 S3 0.00054 0.00003 0.00130 S3 Now that you have filled the Smatrix, follow the matrix solution procedure discussed in Module 6 to obtain the optimal portfolio P* Enter the weights obtained for each of the securities, with three decimal places. Inverse of the Variance-Covariance Matrix Excess Return Vector z Vector Optimal Portfolio s1 R-Rf weights, w Z Ws1 W2 Ws Sum 0 0.000 Enter the Sharpe ratio for P*, with two decimal places. Hint: recall that Expected return of a portfolio is the weighted average of the expected returns, and variance of a portfolio = WT-S-w, where w is the (column) vector of portfolio weights and wt is its transpose. Expected return of p* Variance of p* oof P* Sharpe ratio for P*