1. Business
  2. Accounting
  3. you are given a four security portfolio security expected return...

Question: you are given a four security portfolio security expected return...

Question details

You are given a four security portfolio: Security Expected Return SD 0.06 0.10 0.12 0.17 0.09 0.14 0.18 0.22 Correlations 1 0.30 0.35 0.40 1 0.10 0.40 1 0.35 4 You have a target rate of return of 14.2%. Solve for the portfolio weights which minimize the portfolio standard deviation and achieves the target return. In this exercise the weights can be negative. What is the minimum standard deviation and what is the expected return?

Solution by an expert tutor
Blurred Solution
This question has been solved
Subscribe to see this solution