Problem 2. Suppose you estimate that E(Rstocks) = 11.9424%/yr with 2 stocks = 0.039208, and

E(Rbonds) = 5.7558%/yr with 2 bonds = 0.014069, and the covariance between stocks and bonds is

0.001839. Please calculate the following. [a] The global minimum variance porfolio (that is, its weights). [b] The expected return and volatlity per annum of the global minimum variance portfolio. [c] The Sharpe ratio of the mean-variance optimal risky portfolio when the risk-free asset exists and return 2.5% next year.

= Problem 2. Suppose you estimate that E(Rstocks) = 11.9424%/yr with otocks = 0.039208, and E(Rbonds) = 5.7558%/yr with oonds = 0.014069, and the covariance between stocks and bonds is 0.001839. Please calculate the following. [a] The global minimum variance porfolio (that is, its weights). [b] The expected return and volatlity per annum of the global minimum variance portfolio. (c) The Sharpe ratio of the mean-variance optimal risky portfolio when the risk-free asset exists and return 2.5% next year