Find optimized weight of class

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Reference no: EM133075945

For asset with the following return profile,

 

Expected Return

Standard deviation

Equity

4.3%

14.47%

Fixed Income

2.6%

3.78%

Infrastructure

4.2%

15.48%

Private Equity

5.4%

17.79%

Real Estate

4.4%

12.16%

Correlation

Equity

Fixed Income

Infrastructure

Private Equity

Real Estate

Equity

1.0

0.7 

(0.3)

0.6

0.3 

Fixed Income

0.7 

1.0 

(0.1)

0.5 

0.2 

Infrastructure

(0.3)

(0.1)

1.0 

(0.1)

(0.2)

Private Equity

0.6 

0.5       

(0.1)

1.0 

0.7 

Real Estate

0.3 

0.2 

 (0.2)

0.7 

1.0 

I am trying to find optimized weight of each class.

Reference no: EM133075945

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