Question: Your eccentric Aunt Claudia has left you $50,000 in BP shares plus $50,000 cash. Unfortunately her will requires that the BP stock not be sold

Your eccentric Aunt Claudia has left you $50,000 in BP shares plus $50,000 cash. Unfortunately her will requires that the BP stock not be sold for one year and the $50,000 cash must be entirely invested in one of the stocks shown in Table 7.9. What is the safest attainable portfolio under these restrictions?

TABLE 7.9

BHP Billiton BP Flat Chrystler Heineken Korea Bectric Nestle Sony Tata Motors BHP Billiton 1.00 0.42 0.38 0.16 0.42 1.00 0.40 0.25 0.26 0.12 -0.10 0.41 0.29 0.16 0.25 0.17 1.00 0.17 -0.03 0.19 0.50 0.40 1.00 0.17 0.19 0.12 041 0.19 0.17 1.00 0.01 0.16 0.13 27.83 Fiat Chrystler -0.10 0.44 0.32 0.44 037 0.26 0.01 0.16 0.13 00 023 0.08 0.23 1.00 0.08 0.19 9.70 44.84 39.11 Korea Electric -0.03 0.19 0.37 0.19 Tata Motors 1.00 Standard deviation, % 19.80 29.10 43.06 18.04

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