Question: Using the data below: a) calculate the variance B) calculate the composition of the minimum variance portfolio comprised of securities A and B. C) calculate

Using the data below:

a) calculate the variance

B) calculate the composition of the minimum variance portfolio comprised of securities A and B.

C) calculate the variance of minimum variance portfolio

D) calculate the expected return of the minimum variance portfolio

1 2/3/4/5/6 2 3 5 6 7 8 9 10 E(R) A(%)

1 2/3/4/5/6 2 3 5 6 7 8 9 10 E(R) A(%) 8 -4 13 375 - 3 6 -5 14 0.0 6.2 0.321 6 Correlation Coefficient = .4 B(%) 7 8 5 -11 0.0 5 9 7 -6 11 5.1 0.211

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