There are three assets with mean vector and variance-covariance matrix. I have $10,000 and the...
80.2K
Verified Solution
Link Copied!
Question
Accounting
There are three assets with mean vector and variance-covariance matrix. I have $10,000 and the investment proportion for asset 1 is 20%, for asset 2 is 50%, for asset 3 is 30%. Calculate the expected rate of return and volatility of the portfolio.
Expected rate of return( ? %), volatility( ? %)
expected rate of return vector =[10%, 3%, 20%]
variance-covariance matrix =[5 -1 3]
[-1 2 4]
[3 4 1]
Get the tangent portlio proportion with the information in 3. ( ? % , ? % , ? % )
Get the minimum variance portfolio proportio with the information in 3 ( ? % , ? % , ? % )
Note: Please put the numbers instead of "?". It is my second time uploading this question, bc I did not get the answer with numbers:)
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
