Calculate the envelope set for the following four assets and show that the individual assets all lie within this envelope set.

You should get a graph which looks something like the following:

Transcribed Image Text:

A B C DE A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance 2 3 0.10 0.01 0.03 0.05 4 0.01 0.30 0.06 -0.04 5 0.03 0.06 0.40 0.02 6 0.05 -0.04 0.02 0.50 F Mean returns 6% 8% 10% 15%