Find the global minimum variance portfolio

Reference no: EM132179380

Question - The table below gives example data on monthly means, variances and co-variances for the returns on Microsoft, Nordstrom and Starbucks (assets A, B and C) based on sample statistics computed over the five-year period January, 1995 through January, 2000

Asset	μ_i	σ_i	Pair (I, j)	σ_ij
A	0.0427	0.1000	(A, B)	0.0018
B	0.0015	0.1044	(A, C)	0.0011
C	0.0285	0.1411	(B, C)	0.0026

(a) Find the global minimum variance portfolio. What is its mean equal? What is its variance equal to?

(b) Find the efficient portfolio of these assets with the same expected return as Microsoft. What is its risk equal to?

(c) Assume a risk-free rate of 0.00010% per month for the T-bill (risk free rate). What are the weights of the tangency portfolio?

(d) Find the portfolio with of risky assets and the risk free asset with the same expected return as Microsoft. What is its expected risk equal to?

Reference no: EM132179380

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