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4. The following spreadsheet provides expected returns, E(r); the variance-covariance matrix, S; the risk-free rate, Rf; and the row vector of 1s for 4 assets.
4. The following spreadsheet provides expected returns, E(r); the variance-covariance matrix, S; the risk-free rate, Rf; and the row vector of 1s for 4 assets. A B C D E F G Mean Variance-covariance, S returns 1 E(r) 2 0.10 0.01 0.03 0.05 6% 3 0.01 0.30 0.06 -0.04 8% 0.06 0.40 0.02 10% 0.03 5 0.05 -0.04 0.02 0.50 15% 7 Rf 4% Row Vector of 1s 1 1 1 10 (a) Provide an envelope portfolio. (2 2 points) algebraic expression and a spreadsheet formula to calculate an (b) Provide a spreadsheet formula to calculate the standard deviation (volatility) of the envelope portfolio. (3 points) spreadsheet formula to calculate the Global (c) Provide an Minimum Variance Portfolio (GMVP)? (3 points) algebraic expression or a 4. The following spreadsheet provides expected returns, E(r); the variance-covariance matrix, S; the risk-free rate, Rf; and the row vector of 1s for 4 assets. A B C D E F G Mean Variance-covariance, S returns 1 E(r) 2 0.10 0.01 0.03 0.05 6% 3 0.01 0.30 0.06 -0.04 8% 0.06 0.40 0.02 10% 0.03 5 0.05 -0.04 0.02 0.50 15% 7 Rf 4% Row Vector of 1s 1 1 1 10 (a) Provide an envelope portfolio. (2 2 points) algebraic expression and a spreadsheet formula to calculate an (b) Provide a spreadsheet formula to calculate the standard deviation (volatility) of the envelope portfolio. (3 points) spreadsheet formula to calculate the Global (c) Provide an Minimum Variance Portfolio (GMVP)? (3 points) algebraic expression or a
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