Assume that you want to restrict your bond investing, investing in AGG , to no more than 60%, and you want to restrict the investment in each of the other ETsF to be no more than 30 %. Find the allocation that minimizes risk under these conditions. This portfolio:

1. provides the worst reward-to-risk ratio among the three portfolio
2. the reward to risk ratio here is sensitive to the accuracy of sample mean-estimates
3. Out-of-sample, this portfolio may provide the best reward to risk portfolio
4. Out-of-sample, this portfolio may provide the worst reward to risk portfolio
5. all of the above are true statements

\begin{tabular}{|c|c|c|c|c|c|c|c|} \hline L & M & N & 0 & P & Q & S & T \\ \hline & mean & 0.0320629 & 0.047069 & 0.01003632 & & & \\ \hline & std & 0.0773564 & 0.0877026 & 0.01664298 & & & \\ \hline std & Correlation Matrix & & & & & & \\ \hline 0.077356375 & & 1 & 0.9051951 & -0.2917505 & & & \\ \hline 0.087702564 & & 0.9051951 & 1 & -0.2101361 & & & \\ \hline 0.016642979 & & -0.29175 & -0.210136 & 1 & & & \\ \hline \multicolumn{2}{|l|}{ Portfolio Weights } & 0.3000 & 0.2000 & 0.5000 & & & \\ \hline & Covariance Matrix & SPY & QQQ & AGG & Weighted Cov Matrix & & \\ \hline 0.3000 & SPY & 0.005984 & 0.0061412 & -0.0003756 & 0.0005386 & 0.00036847 & 5.6342E05 \\ \hline 0.2000 & QQQ & 0.0061412 & 0.0076917 & -0.0003067 & 0.0003685 & 0.00030767 & 3.0672E05 \\ \hline 0.5000 & AGG & -0.000376 & -0.000307 & 0.00027699 & 5.63E05 & 3.06721E05 & 6.9247E05 \\ \hline \end{tabular}