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Find the portfolio weights for the minimum risk premium

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Reference no: EM133118746

Question - Excel Modelling - 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 -

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

2. Identify five new efficient portfolios and use a table to report their portfolio weights, portfolio returns, and standard deviations. Draw an efficient frontier diagram on the plane of return-standard deviation, using the six efficient portfolios identified.

3. 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: EM133118746

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