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Assume monthly risk-free rate is 0.001. You want to allocate your investment between risk-free asset and one risky portfolio. Among all the portfolios constructed in

Assume monthly risk-free rate is 0.001. You want to allocate your investment between risk-free asset and one risky portfolio. Among all the portfolios constructed in the table below., which one would you choose as your risky portfolio? Please explain and show all the calculations if necessary

Weight in Costco Weight in Tesla Expected Return Volatility
0 1 0.036531868 0.001324838
0.1 0.9 0.0346886 0.001095879
0.2 0.8 0.032845332 0.000937377
0.3 0.7 0.031002063 0.000849332
0.4 0.6 0.029158795 0.000831743
0.5 0.5 0.027315526 0.000884612
0.6 0.4 0.025472258 0.001007937
0.7 0.3 0.023628989 0.001201719
0.8 0.2 0.021785721 0.001465958
0.9 0.1 0.019942453 0.001800653
1 0 0.018099184 0.002205806

Costco
Expected Return 0.018099184
Variance 0.002205806
Standard Deviation (Volatility) 0.046966007
Tesla
Expected Return 0.036531868
Variance 0.001324838
Standard Deviation (Volatility) 0.036398322
Covariance 3.90122E-06
Correlation 0.002282106

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