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Returns of Stocks X and Y X Average Return 19.00% 13.00% E Variance 0.09 0.04 30% 20% Covarience 0.01 Risk-free return 3.00% 1) What is the return and standard deviation of the minimum variance portfolio for X and Y? 2) What are the weights of the minimum variance portfolio? 3) What is the return and standard deviation of a portfolio composed of 30% in the minimum variance portfolio and 70% in the risk free asset? 4) What are the weights of a portfolio composed of the minimum variance portfolio and the risk-free asset that has a return of 9%?? 5b) What are the weights of a portfolio composed of the minimum variance portfolio and the risk-free asset that has a standard deviation of 5% 6a) What is the Sharpe ratio of the minimum variance portfolio? 6b) What is the Sharpe ratio of the tanget portfolio? Standard Deviation Ret= Wx= Ret= |WMinVar = WMinVar = Shapre = Sharpe = StDev = Wy= Stvev = WRiskFree = WRiskFree = Returns of Stocks X and Y X Average Return 19.00% 13.00% E Variance 0.09 0.04 30% 20% Covarience 0.01 Risk-free return 3.00% 1) What is the return and standard deviation of the minimum variance portfolio for X and Y? 2) What are the weights of the minimum variance portfolio? 3) What is the return and standard deviation of a portfolio composed of 30% in the minimum variance portfolio and 70% in the risk free asset? 4) What are the weights of a portfolio composed of the minimum variance portfolio and the risk-free asset that has a return of 9%?? 5b) What are the weights of a portfolio composed of the minimum variance portfolio and the risk-free asset that has a standard deviation of 5% 6a) What is the Sharpe ratio of the minimum variance portfolio? 6b) What is the Sharpe ratio of the tanget portfolio? Standard Deviation Ret= Wx= Ret= |WMinVar = WMinVar = Shapre = Sharpe = StDev = Wy= Stvev = WRiskFree = WRiskFree =

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