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please provide calculations Expected Return (Risk Premium) ETF 1 ETF 2 ETF 3 ETF 4 ETF 5 ETF 6 ETF 7 0.030 0.027 0.035 0.040
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Expected Return (Risk Premium) ETF 1 ETF 2 ETF 3 ETF 4 ETF 5 ETF 6 ETF 7 0.030 0.027 0.035 0.040 0.026 0.023 0.028 Covariance Matrix ETF 1 ETF 2 ETF 3 ETF 4 ETF 5 ETF 6 ETF 7 ETF1 0.0314 0.0284 0.0250 0.0288 0.0195 0.0121 0.0205 ETF 2 0.0184 0.0223 0.0275 0.0299 0.0204 0.0124 0.0206 ETF 3 0.0250 0.0275 0.0403 0.0438 0.0259 0.0177 0.0273 ETF 4 0.0288 0.0299 0.0438 0.0515 0.0301 0.0183 0.0305 ETF 5 0.0195 0.0204 0.0259 0.0301 0.0261 0.0147 0.0234 ETF 6 0.0121 0.0124 0.0177 0.0183 0.0147 0.0353 0.0158 ETF 7 0.0205 0.0206 0.0273 0.0305 0.0234 0.0158 0.0298 2) Assume your client has average risk aversion. Determine the portfolio weights and the expected return standard deviation for their complete portfolio. Expected Return (Risk Premium) ETF 1 ETF 2 ETF 3 ETF 4 ETF 5 ETF 6 ETF 7 0.030 0.027 0.035 0.040 0.026 0.023 0.028 Covariance Matrix ETF 1 ETF 2 ETF 3 ETF 4 ETF 5 ETF 6 ETF 7 ETF1 0.0314 0.0284 0.0250 0.0288 0.0195 0.0121 0.0205 ETF 2 0.0184 0.0223 0.0275 0.0299 0.0204 0.0124 0.0206 ETF 3 0.0250 0.0275 0.0403 0.0438 0.0259 0.0177 0.0273 ETF 4 0.0288 0.0299 0.0438 0.0515 0.0301 0.0183 0.0305 ETF 5 0.0195 0.0204 0.0259 0.0301 0.0261 0.0147 0.0234 ETF 6 0.0121 0.0124 0.0177 0.0183 0.0147 0.0353 0.0158 ETF 7 0.0205 0.0206 0.0273 0.0305 0.0234 0.0158 0.0298 2) Assume your client has average risk aversion. Determine the portfolio weights and the expected return standard deviation for their complete portfolio Step by Step Solution
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