5. Suppose one has a sample of monthly log returns on two stocks with sample means of 0.0032 and 0.0074, sample variances of 0.017 and 0.025, and a sample covariance of 0.0059. For purposes of resampling, consider these to be the “true population values.” A bootstrap resample has sample means of 0.0047 and 0.0065, sample variances of 0.0125 and 0.023, and a sample covariance of 0.0058.

(a) Using the resample, estimate the efficient portfolio of these two stocks that has an expected return of 0.005; that is, give the two portfolio weights.

(b) What is the estimated variance of the return of the portfolio in part

(a) using the resample variances and covariances?

(c) What are the actual expected return and variance of return for the portfolio in

(a) when calculated with the true population values (e.g., with using the original sample means, variances, and covariance)?