Find the portfolio weights for the minimum risk

Reference no: EM133290926

Case: In a hypothetical world of 4 assets with the following information below. Assume no restrictions on short sales.

Variance-covariance matrix	Asset 1	Asset 2	Asset 3	Asset 4	Expected returns
Asset 1	0.10				0.06
Asset 2	0.02	0.20			0.07
Asset 3	0.04	0.04	0.40		0.08
Asset 4	0.05	0.01	0.10	0.60	0.09

Required: [Instruction: Show your workings and round your final answers to three decimal places e.g., 0.001 or 0.1% in all three parts; provide a screenshot of your key step in solving portfolio weights using Excel for part a.]

Question 1: Find the portfolio weights for the minimum risk portfolio using the four assets.

Question 2: Suppose a portfolio is composed of equal weights of each asset (i.e., [0.25, 0.25, 0.25, 0.25]). Is the portfolio efficient? Support your answer with the results of your calculations.

Reference no: EM133290926

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