Consider again the same situation with $4$ assets and the following expected rates of return and variance$-$covariance matrix:

$\backslash$table$[[0\mathrm{.}2,0\mathrm{.}25,0\mathrm{.}034,0\mathrm{.}016,0\mathrm{.}019,],[0\mathrm{.}16,=5,0\mathrm{.}034,0\mathrm{.}88,0\mathrm{.}032,0\mathrm{.}046],[0\mathrm{.}1,0\mathrm{.}016,0\mathrm{.}032,0\mathrm{.}15,0\mathrm{.}027,]]$

Randomly select two efficient portfolios $($for consistency, let us all choose $E(Rp1)=14\%$ and $E(Rp2)=10\%$ and construct

plot various linear combinations of these two portfolios. Verify that the same frontier as in Exercise $3$ is obtained, using the same range of values. Hint: to do this, you also need to compute the covariance between the two efficient portfolios.