Consider the following four risky assets Asset Expected Standard Returns Deviation Correlations Firm 1 Firm 2 Firm 3 Firm 4 7.00% 15.00% Firm 1 1 9.00% 22.00% Firm 2 Firm 3 10.00% 28.00% Firm 3 0.31 0.25 0.05 0.31 1 -0.01 0.14 0.25 -0.01 1 0.2 0.05 0.14 0.2 1 Firm 4 16.00% 31.00% Firm 4 Risk-free Asset 6.00% 0.00% An investor put half her money in Firm 1 and half in Firm 4, resulting in a portfolio with a standard deviation of 17.55%. She wants a portfolio with the same expected return but the lowest risk possible. What weight should she assign to Firm 1 to achieve a portfolio with the same expected return and the lowest standard deviation possible? Note the following: -13.38079 1.75362 1.47007 0.06611 h= g= 1.68944 -0.04089 10.22128 -0.77884 Firm 1 Firm 2 Consider the following four risky assets Asset Expected Standard Returns Deviation Correlations Firm 1 Firm 2 Firm 3 Firm 4 7.00% 15.00% Firm 1 1 9.00% 22.00% Firm 2 Firm 3 10.00% 28.00% Firm 3 0.31 0.25 0.05 0.31 1 -0.01 0.14 0.25 -0.01 1 0.2 0.05 0.14 0.2 1 Firm 4 16.00% 31.00% Firm 4 Risk-free Asset 6.00% 0.00% An investor put half her money in Firm 1 and half in Firm 4, resulting in a portfolio with a standard deviation of 17.55%. She wants a portfolio with the same expected return but the lowest risk possible. What weight should she assign to Firm 1 to achieve a portfolio with the same expected return and the lowest standard deviation possible? Note the following: -13.38079 1.75362 1.47007 0.06611 h= g= 1.68944 -0.04089 10.22128 -0.77884 Firm 1 Firm 2