Quiz 4

matrix A [ 2 3 7] matrix B [ 2 3 5]

[ 1 4 6] [ 3 7 9]

[ 3 7 5] [ 7 5 8]

1-1. Calculate the multiplication above.

[ , , ]

[ , , ]

[ , , ]

1-2. What is the dimension of the caluclation ?

2-1. There are three assets with mean vector, and variance- covariance matrix. I have $10,000 and the investment proportion for asset 1 is 20%, for asset 2 is 50%, for asset 3 is 30%. Calculate the expected rate of return and volatility of the portfolio.

Expected rate of return( %), volatility( %)

expected rate of return vector =[10%, 3%, 20%]

variance-covariance matrix =[5 -1 3]

[-1 2 4]

[3 4 1]

2-2. Get the tangent portlio proportion with the information in 3. ( % , % , % )

2-3. Get the minimum variance portfolio proportio with the information in 3 ( % , % , % )