Consider the following data for six furniture companies:

a. Given this matrix, and assuming that the risk-free rate is 0 percent, calculate the effi cient portfolio of these six fi rms.

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?

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A Variance- B C D E F G H 2 covariance matrix La-Z-Boy Kimball Flexsteel Leggett Miller Shaw Means 3 La-Z-Boy 4 Kimball 0.0398 0.0649 0.1152 0.0398 0.1792 0.0492 0.0568 0.0989 0.0447 0.0062 0.0349 0.0269 29.24% 20.68% 5 Flexsteel 0.1792 0.0447 0.3334 0.0775 0.0886 0.1487 25.02% 6 Leggett 0.0492 0.0062 0.0775 0.1033 0.0191 0.0597 31.64% 7 Miller 0.0568 0.0349 0.0886 0.0191 0.0594 0.0243 15.34% 8 Shaw 0.0989 0.0269 0.1487 0.0597 0.0243 0.1653 43.87%