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Unformatted text preview: (b) Find the portfolio of assets (including a riskfree asset with r = 0), with expected return 1 that has minimum variance. What is its standard deviation? Interpret the weights. 4. Suppose that there are three risky assets and one riskfree asset. The riskfree asset has a return of 5%. The risky assets have returns and standard deviations as follows: r 1 = 50%, 1 = 60%, r 2 = 30% , 2 = 40%, r 3 = 20%, 3 = 30%. The covariance values are 12 = 0 . 1 5, 23 = 0 . 10 , 13 = 0 . 12. If you want an expected return of 80%, find the portfolio of assets with minimum variance. Also find the standard deviation of your portfolio....
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This note was uploaded on 11/22/2010 for the course ENGIN 120 taught by Professor Ilan during the Fall '08 term at University of California, Berkeley.
 Fall '08
 ILAN

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