Solution-What is optimal s and t to minimize variance of

What is optimal s and t to minimize variance of return

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Portfolio with return X. Need to add shares of two stocks with returns per share Y and Z to minimize risk. Buying s shares of Y and t shares of Z yields return, X + sY + tZ

Var(Y) = 10
Var (Z) =3
Cov (X,Y) = -60
Cov (X,Z) = 0
Cov (Y,Z) = -1

a) What is optimal s and t to minimize variance of return?

b) Cost per share of Y is 30, and Z is 10. I have $100 to invest. Find s and t that minimize the variance subject to a given constraint.

Reference no: EM132999763

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What is optimal s and t to minimize variance of return

Reference no: EM132999763

Reference no: EM132999763

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