Question: Find the minimum variance portfolio with expected rate of return of 8% using 5 assets with expected rates of return = [0.10,0.12, 0.05, 0.03,

Find the minimum variance portfolio with expected rate of return of 8% using 5 assets with expected rates of

Find the minimum variance portfolio with expected rate of return of 8% using 5 assets with expected rates of return = [0.10,0.12, 0.05, 0.03, 0.15] , standard deviation = = [0.4, 0.45, 0.15,0.1, 0.5]T and covariances 012=0.02, 013 -0.01, 014 = 0.005, 015 -0.002, 024 = 0.001, 025 = 0.03, 034 0,035 0.02 and Calculate the minimum variance. 0.001, 023 = 45 -0.02.

Step by Step Solution

★★★★★

3.36 Rating (159 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

Answer 1 The expected return is the expected value of the returns of the portfolio It is calculated ... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Using Euler's method and writing a python the interval [0, 4] program to approximate the solution of the function on dy dr y(0) = 1000 y(x) = 1000e

Use Taylor's method of order two to approximate the solution for each of the following initial-value problems. a. y' = y/t (y/t)2, 1 t 1.2, y(1) = 1, with h = 0.1 b. y' = sin t + et, 0 t 1, y(0) =...

Use Taylor's method of order two to approximate the solution for each of the following initial-value problems. a. y' = (2 2ty)/(t2 + 1) , 0 t 1, y(0) = 1, with h = 0.1 b. y' = y2/(1 + t) , 1 t 2,...

Could you help me with Q12, please? Thank you. Here is the question. expected use $1 million to set up the portfolio. 12. Find the minimum variance portfolio with expected rate of return of 8% using...

Open the associated Excel file named QPS2 Data Winter I 2019 Problem 2 in Quantitative Problem Set Spreadsheets Module. The data file includes 60 months of returns for 11 exchange traded funds; their...

Hello again. I wasable to get an extension on due time, so hopefully you can help. I took into consideration the time needed for you to complete,as per our last discussion. So please let me know asap...

Week 4 Homework Assignment This assignment is due by 6 p.m. eastern time on Sunday, September 17.When you turn it in, please: (1) Include your team number and assignment number in the filename(s)....

Appendix A APPENDIX A Statistical Tables 860 Table 1 Random Numbers 860 Table 2 Standard Normal Probabilities (Cumulative z Curve Areas) 862 Table 3 t Critical Values 864 Table 4 Tail Areas for t...

DSCI 2710 PRACTICE EXAM 2-A 1. One of the following statements is false and the other four are true. Identify the false statement. a. For two events, A and B, P(A and B) is equal to P(A)AP(B)...

Question 13 ABC manufactures only one product. Presented below is direct labor information for SEPTEMBER. Standard direct labor hours per unit of product 3.20 Number of finished units produced 6,500...

As a principal designer for GE Healthcare, Doug had been designing diagnostic imaging equipment for more than 20 years when he realized that young patients' actual experience of this cutting -- edge...

The coronavirus pandemic has disrupted everyday life in so many ways. Not only our personal lives, but our work and school lives as well. As businesses begin to re-open, there have been several...

The goal of this competency was to explore how motivation and engagement contribute to the successes and challenges of an organization. We discussed strategies for fostering motivation and engagement...

Assume that the classical economic order quantity model suggests Q0 = 25 for a certain item. However, for some practical reasons the order quantity has to be a multiple of 10. What is then the best...

b) At a certain terminal, the arrival distribution of trucks is found to be Poisson with 3 trucks arriving per hour. The service time is exponentially distributed with unloading rate of 4 trucks per...

MSI is considering eliminating a product from Toase Town Tours coction This collection is aimed at children one to three years of age and includes oursofa h o n. Two products. The Pet Store Parade...

Match each of the key terms with the definition that best fits it. _______________ A record of the sequence of data entries and the date of those entries. Here are the key terms from the chapter. The...

Suppose that f l(y) is a k-digit rounding approximation to y. Show that |y fl(y)/y| 0.5 10k+1. [If dk+1

a. The introduction to this chapter included a table listing the population of the United States from 1950 to 2000. Use natural cubic spline interpolation to approximate the population in the years...

The iterative method to solve f (x) = 0, given by the fixed-point method g(x) = x, where has g'( p) = g''( p) = 0. This will generally yield cubic ( = 3) convergence. Expand the analysis of Example 1...

=+a. Recompute the control limits for both the x and s charts after removing the data from day 22.

=+b. Construct an x chart for this data. Are there any out-of-control signals present?

=+85.2. Calculate the centerline and control limits of an R chart for this data.