1. In Chapter 8 you were asked to calculate the variance-covariance matrix of returns for six furniture companies. The calculated variance-covariance matrix and mean returns for these firms are as follows:

a. Given this matrix, and assuming that the risk-free rate is 0 percent, calculate the efficient portfolio of these six firms.

b. Repeat, assuming that the risk-free rate is 10 percent.

c. Use these two portfolios to generate an efficient frontier for the six furniture companies. Plot this frontier.

d. Is there an efficient portfolio with only positive proportions of all the assets?[2]