Paterson Asset Management (PAM) wishes to create a risk allocated portfolio to take advantage of the economic forecasts. They would like to allocate marginal contribution to risk (MCR) for the four assets as follows:

Assets	Commodities	Hedge Funds	Private Equities	REITs
Proportion of MCR	10%	25%	30%	35%

92 quarterly returns data for the four assets is provided inthe below document in the tab "SAA".

What dollar allocation (proportion) in each asset will produce the desired level of MCRs?

Quarters Commodity HEDGE FUND PRIVATE EQUITY US REIT 1 -15.5718 -1.4670 -1.7330 0.8077 2 -0.9469 6.4740 30.3498 4.5922 3 11.1497 10.3050 5.8526 9.8483 4 -19.3595 4.5210 -1.5472 1.5127 5 -6.0388 8.8470 6.7418 -0.3897 6 -12.1176 0.8400 1.5376 -2.7151 7 -6.1629 2.4390 -23.5062 -7.7468 8 -12.1183 7.8330 61.5497 -1.2902 9 4.1790 4.9650 16.0940 -4.1210 10 7.1120 8.5830 -3.1688 10.6949 11 7.7798 2.5200 3.7129 -7.9527 12 8.2978 14.8950 15.9594 2.7947 13 10.6151 4.3530 13.3807 2.2328 14 16.5446 5.9280 -17.8361 12.9226 15 8.9941 0.0930 -11.2237 0.8367 16 6.8723 9.1590 -1.0994 5.5259 17 -7.3663 1.1520 6.0321 -0.9051 18 -5.2583 0.9090 0.0604 11.5638 19 -16.0789 -3.4470 -8.4208 -1.6914 20 -6.3198 3.9270 6.7202 5.8199 21 10.6268 4.0710 0.4144 9.2917 22 -1.8788 -1.5510 -1.6716 -0.7791 23 10.8392 -1.6230 -2.7694 -11.7742 24 5.4873 2.1510 5.5530 7.8593 25 -0.9998 -1.2930 -6.8317 5.0593 26 8.8210 2.2560 31.0810 12.2460 27 2.2683 2.4720 3.9555 8.0603 28 13.3215 4.8510 4.1118 5.3270 29 6.7320 0.9120 0.4033 3.0011 30 5.3197 0.7050 -1.4253 3.8996 31 15.3117 3.1680 2.1482 9.1168 32 -14.4096 3.8460 14.5756 6.4047 33 13.7376 -1.3560 0.2176 -1.8943 34 4.6110 4.8270 1.9672 17.5532 35 8.7704 4.5330 -3.4690 -4.4150 36 -4.8842 4.4490 15.3405 10.6002 37 -1.7169 5.6550 1.9760 5.3619 38 5.4381 -1.1280 -7.3315 3.4618 39 -18.7424 0.3210 9.9452 10.3008 40 -9.4086 3.8820 9.8556 5.9580 41 11.4406 1.6770 4.3954 5.7798 42 3.9484 2.2080 9.1965 -7.7865 43 5.0642 6.8160 1.3683 4.3291 44 16.1825 1.2450 -18.4826 -29.3767 45 11.9215 -5.6130 -4.4111 17.4405 46 17.8362 -1.3980 -15.8102 -7.1386 47 -43.0132 -14.9010 -25.8593 -22.9233 48 -52.5137 1.8660 0.5581 -28.7693 49 -8.6327 3.2430 18.1768 -28.6645 50 4.9015 1.2030 2.7989 12.0126 51 11.2999 7.2330 36.7052 34.5472 52 9.8904 4.1790 -2.7977 9.4348 53 -2.4519 7.1910 6.5871 12.2270 54 -12.4108 -3.4080 -4.7041 -4.5231 55 10.5103 9.7380 11.7184 13.8192 56 7.2375 9.9690 10.5727 2.9054 57 17.9476 -0.7500 7.0448 6.0762 58 -10.4395 -3.8370 2.8197 9.8570 59 -12.2624 -11.0910 -8.6405 -20.7463 60 8.5658 -0.1080 7.0828 15.1014 61 3.1792 0.3750 15.6428 9.0380 62 -12.3351 1.0590 -5.2938 6.5017 63 8.6525 3.6330 10.0118 -1.0360 64 -1.4942 4.3410 1.1489 4.1444 65 -3.5413 4.1730 12.1394 9.3671 66 1.2922 -2.7300 5.1939 -4.8370 67 2.1320 5.1150 2.9657 -4.8132 68 -5.1261 3.6720 10.1337 0.2127 69 6.7513 -1.0770 1.4036 10.5871 70 0.1156 4.9260 9.2434 5.2633 71 -13.3773 -3.5160 0.6511 -1.1555 72 -35.4314 0.9960 7.8946 16.2277 73 -1.6449 1.6650 4.1046 -0.0007 74 -0.6326 -2.1810 -1.7531 -7.4338 75 -9.3509 -4.6890 -0.7944 4.3752 76 -28.5611 -4.6260 -6.1077 0.4349 77 4.3606 6.6930 8.8368 8.2100 78 6.2422 1.0920 4.8743 8.2718 79 2.0561 1.8810 2.1424 -8.0024 80 3.7600 3.6210 5.5810 3.6201 81 -3.5390 0.6570 4.8012 -0.9001 82 -9.1087 0.7680 2.4970 -1.3666 83 6.8940 3.2940 7.8614 2.5828 84 11.6868 3.3120 13.9088 -1.1471 85 -0.2400 -1.7040 -10.7675 -6.2750 86 8.4214 1.2930 7.7959 11.4586 87 4.2629 -0.8970 8.4056 -2.0455 88 -22.3951 -11.3340 -18.0597 -1.5130 89 12.6014 1.4970 13.7569 12.5970 90 -6.1157 6.7230 4.0561 3.8197 91 -4.3981 0.6090 -4.0436 4.3798 92 7.7261 3.8190 15.4829 -2.2221

Group of answer choices

Not enough information to calculate the correct answer.

None of the three numerical answers are correct

Commodities = 0.06; Hedge Funds =0.45; Private Equity = 0.2; REITs = 0.28

Commodities = 0.21; Hedge Funds =0.37; Private Equity = 0.3; REITs = 0.12

Commodities = 0.16; Hedge Funds =0.46; Private Equity = 0.17; REITs = 0.20