1. Show your work with the data below. (20 points)
2. Calculate the required rate of return of the portfolio. (10 points)
3. Calculate the expected rate of return of the portfolio. (10 points)

Data1: r_RF=4%, r_{M=9%, Weight of the Blandy=.75,Weight of the Gourmange= 0.25, and beta of the portfolio= 0.7785}

Year

Blandy

Gourmange

Portfolio

Market

Covariance

1

0.26

0.47

0.3125

0.3

Blandy

Gourmange

Portfolio

Market

2

0.15

-0.54

-0.0225

0.07

Blandy

0.06347111

3

-0.14

0.15

-0.0675

0.18

Gourmange

0.01093556

0.14884

4

-0.15

0.07

-0.095

-0.22

Portfolio

0.05033722

0.04541167

0.0491058

5

0.02

-0.28

-0.055

-0.14

Market

0.02438889

0.05264444

0.0314528

0.04047

6

-0.18

0.4

-0.035

0.1

7

0.42

0.17

0.3575

0.26

8

0.3

-0.23

0.1675

-0.1

9

-0.32

-0.04

-0.25

-0.03

10

0.28

0.75

0.3975

0.38

Ave.

0.064

0.092

0.08

St.d.

0.252

0.386

0.222

0.201