4.23. In July 1995, First Quadrant, a fund management firm in Pasadena, California, estimated the covariances between
Question:
4.23. In July 1995, First Quadrant, a fund management firm in Pasadena, California, estimated the covariances between the returns of four portfolios:
a popular portfolio of U.S. stocks (asset 1), of Japanese stocks (asset 2), of U.K. stocks (asset 3), and of Canadian stocks (asset 4). The covariances were respectively 11 .0220, 12 .0093,
13 .0191, 14 .0181, 22 .0517,
23 .0120, 24 .0096, 33 .0342,
34 .0204, and 44 .0290. Calculate the variance of the portfolio (of the four national portfolios) with weights, x1 1/6, x2 1/3, x3 1/4, and x4 1/4.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Financial Markets And Corporate Strategy
ISBN: 9780071157612
2nd Edition
Authors: Mark Grinblatt, Sheridan Titman
Question Posted: