Unformatted text preview: one of his outings is 40 minutes with a standard deviation of 5 minutes. His average running time per week is 1 hour 20 minutes with a standard deviation of 4 minutes. Given that he ran for only 15 minutes on Monday, what is the expected duration of his Friday outing? 5. An investor has a choice of three ﬁnancial assets. The expected yields of these assets are given in the vector [ 0 . 04 . 03 . 05 ] and the variances and covariances of the yields are given in the matrix 10 − 4 3 . 29 − . 83 − . 83 3 . 41 2 . 01 . Derive expressions for the expected yield and variance of a portfolio con-taining ∏Q of the ﬁrst asset and (1 − ∏ ) Q of the second asset, and ascertain whether there is any value of ∏ such that the variance of this portfolio is less than the variance of an investment Q in the third asset....
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- Spring '12
- Variance, Probability theory, series A, 5. An investor has a choice of three ﬁnancial