The annual return on each of four stocks for each of the next five years is assumed to follow a normal distribution, with the mean and standard deviation for each stock, as well as the correlations between stocks, listed in the file P11_38.xlsx. We believe that the stock returns for these stocks in a given year are correlated, according to the correlation matrix given, but we believe the returns in different years are uncorrelated.

For example, the returns for stocks 1 and 2 in year 1 have correlation 0.55, but the correlation between the return of stock 1 in year 1 and the return of stock 1 in year 2 is 0, and the correlation between the return of stock 1 in year 1 and the return of stock 2 in year 2 is also