4. Consider a market that consists of 4 stocks with the following data: 0.00312 0.0072...
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4. Consider a market that consists of 4 stocks with the following data: 0.00312 0.0072 = 0.3 0.2 -0.2 0.1 and C= 0.0032 0.002 0.002 0.01 0.00312 0.0072 0.0 -0.001 0.0 -0.001 0.0 0.01 7 0.0169 0.0 (a) (7 pts) What is the minimum variance portfolio in this market? Find its mean: JMVP. (b) (6 pts) Find the parametric formula for the efficient frontier, if only investing in the ETFs is allowed. (c) (6 pts) Which efficient portfolio provides a return 2 times that of the minimum variance portfolio? (d) (6 pts) Assume that the effective rate of interest is 10% per annum, find the Market Portfolio in the one fund theorem. 42 en 4. Consider a market that consists of 4 stocks with the following data: 0.00312 0.0072 = 0.3 0.2 -0.2 0.1 and C= 0.0032 0.002 0.002 0.01 0.00312 0.0072 0.0 -0.001 0.0 -0.001 0.0 0.01 7 0.0169 0.0 (a) (7 pts) What is the minimum variance portfolio in this market? Find its mean: JMVP. (b) (6 pts) Find the parametric formula for the efficient frontier, if only investing in the ETFs is allowed. (c) (6 pts) Which efficient portfolio provides a return 2 times that of the minimum variance portfolio? (d) (6 pts) Assume that the effective rate of interest is 10% per annum, find the Market Portfolio in the one fund theorem. 42 en
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