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1 2 C S 4 5 6 7 8 9 10 13 15 16 18 19 20 Asset Allocation Data Stock A Stock B Stock

1 2 C S 4 5 6 7 8 9 10 13 15 16 18 19 20 Asset Allocation Data Stock A Stock B Stock C Stock D Stock E Means 1.75% 10.00% 2.50% 2.75% 3.00% Variance-covariance matrix Stock C Stock D Stock E Stock A Stock B 0.0016 0.0004 0.0004 0.0361 0.0022 0.0028 0.0006 0.0101 0.0017 0.0029 0.0064 Asset Stock A Stock B Stock C Stock D Stock E 0.0022 0.0006 0.0028 0.0101 0.0225 0.0082 0.0082 0.0081 0.0039 E Port. 1 Investm ent $900 $500 $700 $800 $600 Port. 2 Investm ent $700 $1,200 $600 $900 $800 0.0017 0.0029 0.0064 0.0039 0.0064 G

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