1. An investor constructing a portfolio has the choice of 4 different assets. The expected returns from these assets are listed below, along with their covariance matrix.

AssetE(R)

A12.50%

B13.80%

C15.00%

D8.50%

Covariance Matrix

A B C D

A 0.2000 0.2500 0.0190 0.1270

B 0.2500 0.3600 0.1151 0.1000

C 0.0190 0.1151 0.4900 0.0750

D 0.1270 0.1000 0.0750 0.0500

1. What is the expected return and standard deviation of a portfolio of 30% A, 50% B and 20% D?
2. a.E(R) = 12.35%, = 0.4893
3. b.E(R) = 12.35%, = 0.4493
4. c.E(R) = 12.15%, = 0.4893
5. d.E(R) = 12.35%, = 0.4693
6. e.E(R) = 12.15%, = 0.4693