data. We know that the expected return of the world portfolio is 4%, i.e.: Marf = 2 Take a 3-continent world (Europe, Asia, US). Assume that the variance- covariance matrix of returns is 1 2 1.5 1.5 2.5 1 1 3 There is model risk around these parameters, represented by the prior variance- covariance matrix =* where t = 1/2. Assume that each continent's capitalization is equal to the third of the world's capitalization, and that the risk-free rate is 2%. You want an expected return of 3% on your portfolio. In your opinion, Europe is going to do better than Asia by 1%+1%. What should be your portfolio? data. We know that the expected return of the world portfolio is 4%, i.e.: Marf = 2 Take a 3-continent world (Europe, Asia, US). Assume that the variance- covariance matrix of returns is 1 2 1.5 1.5 2.5 1 1 3 There is model risk around these parameters, represented by the prior variance- covariance matrix =* where t = 1/2. Assume that each continent's capitalization is equal to the third of the world's capitalization, and that the risk-free rate is 2%. You want an expected return of 3% on your portfolio. In your opinion, Europe is going to do better than Asia by 1%+1%. What should be your portfolio