Minimum Variance Portfolio Consider the table below. Using either the historical return or expected return and Solver,
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Minimum Variance Portfolio Consider the table below. Using either the historical return or expected return and Solver, compute the minimum variance portfolio for the universe of three Norwegian shares, Crew Gold, GGS and Marine Harvest, described below. Assume the risk-free return is 6 per cent. Which return measure did you use and why?
Correlation with Stock Crew Gold GGS Marine Harvest Expected Return (%)
Historical Return (%) Variance Crew Gold 1 0.40 0.45 16 20.65 168 GGS 0.40 1 −0.09 10 −34.15 231 Marine Harvest 0.45 −0.09 1 30 68.6 433
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