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Review Developer Help Inquire Power Pivot Share Comments + ? Solver ra AL HO WAH File Home Insert Page Layout Formulas Data View Le From Text/CSV Recent Sources Queries & Connections le From Web [ Existing Connections B: Properties Get Refresh Data From Table/Range All Edit Links Get & Transform Data Queries & Connections Clear Reapply Advanced 14 Flash Fill - Consolidate Remove Duplicates Relationships Text to Columns Es Data Validation Manage Data Model Stocks Currencies Automatic Sort Anatomy Filter Z Animals What If Forecast Analysis Sheet Group Ungroup Subtotal Data Types Sort & Filter Data Tools Forecast Outline Analyze S_2 fr =SQRT(63) A E F. G H 1 2 Asset A 0 Variance-covariance matrix 0.0009 0.0006 0.0006 0.0016 B D El Return) StdDev( Return) Correlation 5% 3% 0.5 4% 4% 10% 2% 0% 0 3 Asset B 0 0 7% 0 0.01 0 4 Asset C 5 Risk-free asset 0 0 0 0 D C B Weights 0.3 0.3 0.4 1 1 2 Asset A 3 Asset B 4 Asset C 5 Sum of weights 6 7 8 Minimise the portfolio variance 9 Expected portfolio return 10 Required expected portfolio return 11 10.000000% 12 13 Question 4 1 pts Use the data in the supplied spreadsheet to answer this question. If the investor can invest in all of the risky assets but not the risk-free asset, what is the minimum standard deviation (as a percentage) that can be achieved in the investor's portfolio while also having an expected return of 10%? A Weights 0.5 Asset A Asset B Sum of weights 0.5 1 Risk aversion coefficient 40 portfolio variance expected portfolio return Maximise expected utility - Question 5 1 pts Use the data in the supplied spreadsheet to answer this question. If the investor can only invest in the risky assets A and B, what is the expected return (as a percentage) of the portfolio that maximises the investor's expected utility, E(U)=E(rp) 0.5 x 400%

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