Calculate the weights to invest in each stock

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Stocks A, B and C have a monthly return and variance of: (10%, 0.0036), (15%, 0.0009) and (3%, 0.036) respectively. The coefficient of correlations are: Coef(A, B) = 0.7. Coef(B, C) = 0.8, Coef(A, C) = 0.2

a. Calculate the Covariances (A, C) and (C, A).

b. Calculate the weights to invest in each stock in order to have a portfolio with minimum variance with a return expected of 12%.

C Calculate the return of the portfolio using the weights found in (B).

d. Calculate the variance for this portfolio.

Reference no: EM133306319

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