Find the minimum variance portfolio with expected rate of return of 8% using 5 assets with...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
Find the minimum variance portfolio with expected rate of return of 8% using 5 assets with expected rates of return μ = [0.10,0.12, 0.05, 0.03, 0.15] , standard deviation σ= = [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. Find the minimum variance portfolio with expected rate of return of 8% using 5 assets with expected rates of return μ = [0.10,0.12, 0.05, 0.03, 0.15] , standard deviation σ= = [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.
Expert Answer:
Answer rating: 100% (QA)
Answer 1 The expected return is the expected value of the returns of the portfolio It is calculated ... View the full answer
Related Book For
Posted Date:
Students also viewed these 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,...
-
How is the standard form of a circles equation obtained from its general form?
-
Hopeville Retreat is a private not-for-profit organization that counsels former drug addicts in readjusting to productive community life. Donations provide the major support for Hopeville Retreat....
-
Graph inequality. x 3
-
The Cooper Furniture Company of Potomac, Maryland, assembles two types of chairs (Recliners and Rockers). Separate assembly lines are used for each type of chair. Classify each cost item (AI) as...
-
Journal entries, T-accounts and source documents. Production Company produces gadgets for the coveted small appliance market. The following data reflects activity for the year 2008. Production Co....
-
Need a fix, and explain code. Why can't b.size access Small? If size = 1 is public shouldn't it be able to be accesssed from outside the class? public class Big { private Small s = new Small();...
-
Generally accepted accounting principles are accounting standards that are changed and refined in response to changes in the environment in which businesses operate. a. True b. False
-
Interactions between host governments and MNEs have been sometimes compared to love-hate relationships. Could you please explain both parts of this equation and how host govemments and MNEs...
-
John, CPA, is evaluating the risk of material misstatement on an engagement. For each of the following, please indicate what effect the situation described would have on the affected risk component....
-
1. Rocket A leaves a space station with a speed of 0.54 c. Later, rocket B leaves in the same direction with a speed of 0.85 c. What is the velocity of rocket A as observed from rocket B? 2. Global...
-
Please review for accuracy and provide feedback if anything incorrect stands out. Stewart Burger is a forensic accountant who works for a large Houston CPA firm. His specialty is the investigation of...
-
I took advance gov and non profit accounting , strategic decision making and applied learning practicum courses in this semester. Reflect on the connection between knowledge concepts from the above...
-
Consider two parallel wires, each carrying an identical current I in the same direction. The moving charges create magnetic fields, and react to each other's magnetic fields, causing the wires to...
-
Explain the ways in which companies can set up an onlinemarketing presence. Is it necessary for a business today to have an online presence? Why? 2. Compare and contrast the different forms of online...
-
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 < 5, then f l(y) = 0.d1d2 . . . dk 10n. If dk+1 5, then f l(y) = 0.d1d2 . . . dk 10n + 10nk...
-
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...
-
The financial records of Dunbar Inc. were destroyed by fire at the end of 2015. Fortunately, the controller had kept the following statistical data related to the income statement. 1. The beginning...
-
Maher Inc. reported income before income tax during 2015 of 790,000. Additional transactions occurring in 2015 but not considered in the 790,000 are as follows. 1. The corporation experienced an...
-
Presented below is the trial balance of Thompson Corporation at December 31, 2015. Instructions Prepare an income statement and a retained earnings statement. Assume that the only changes in retained...
Study smarter with the SolutionInn App