Question: Suppose we have the expected daily returns (in terms of US dollars), standard deviations, and correlations shown in the table below. US, German, and Italian

Suppose we have the expected daily returns (in terms of US dollars), standard deviations, and correlations shown in the table below.
US, German, and Italian Bond Returns

US Dollar Daily Returns in Percent Italian Bonds German Bonds US Bonds Expected Return Standard Deviation 0.029 0.409 0.

Correlation Matrix US Bonds 1 German Bonds Italian Bonds 0.10 US Bonds German Bonds 0.09 1 Italian Bonds 0.70 1

A. Using the data given above, construct a covariance matrix for the daily returns on US, German, and Italian bonds.
B. State the expected return and variance of return on a portfolio 70 percent invested in US bonds, 20 percent in German bonds, and 10 percent in Italian bonds.
C. Calculate the standard deviation of return for the portfolio in Part B.

US Dollar Daily Returns in Percent Italian Bonds German Bonds US Bonds Expected Return Standard Deviation 0.029 0.409 0.073 0.635 0.021 0.606 Correlation Matrix US Bonds 1 German Bonds Italian Bonds 0.10 US Bonds German Bonds 0.09 1 Italian Bonds 0.70 1

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