Solution-Construct the covariance matrix

Construct the covariance matrix

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Reference no: EM133076131

Given the following information from the Partners Health case study, please perform the following tasks:

Annual Expected Returns, Standard Deviations
	Asset Class	Expected Ret.	Stdev
	US Equity	12.94%	15.21%
	Foreign Equity	12.42%	14.44%
	Bonds	5.40%	11.10%
	REITs	9.44%	13.54%
	Commodities	10.05%	18.43%
	STP	3.20%	0%
			Correlation Matrix
	US Equity	Foreign Equity	Bonds	REITs	Commodities
US Equity	1.000	0.620	0.250	0.560	-0.020
Foreign Equity	0.620	1.000	0.060	0.400	0.010
Bonds	0.250	0.060	1.000	0.160	-0.070
REITs	0.560	0.400	0.160	1.000	-0.010
Commodities	-0.020	0.010	-0.070	-0.010	1.000

construct the covariance matrix for all five assets being considered for the new allocation
Calculate the information needed to plot the Capital Allocation Line
Plot both efficient frontier and the CAL

Reference no: EM133076131

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Construct the covariance matrix

Reference no: EM133076131

Reference no: EM133076131

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