Question 4 20 pts Summary Statistics LGGR LGVAL SMGR SMVAL INTL 0.1009 0.1381 0.1273 0.1469 0.1158 0.0851 0.1485 0.1340 0.0860 0.1726 0.2478 0.1705 0.1275 0.1099 o 0.1873 Correlation matrix LGGR 1.000 LGVAL 0.826 SMGR 0.851 SMVAL 0.729 INTL 0.549 0.826 1.000 0.712 0.822 0.537 0.851 0.712 1.000 0.872 0.508 0.729 0.822 0.872 1.000 0.491 0.549 0.537 0.508 0.491 1.000 Given the data above, compute the mean-variance objective of an investor if X = 1, and the investor sets w(LGGR)=0, w(LGVAL)=0, w(SMGR)=50%, W(SMVAL)=0 and w(INTL)=50%. Assume that the investment horizon is one-year. Question 4 20 pts Summary Statistics LGGR LGVAL SMGR SMVAL INTL 0.1009 0.1381 0.1273 0.1469 0.1158 0.0851 0.1485 0.1340 0.0860 0.1726 0.2478 0.1705 0.1275 0.1099 o 0.1873 Correlation matrix LGGR 1.000 LGVAL 0.826 SMGR 0.851 SMVAL 0.729 INTL 0.549 0.826 1.000 0.712 0.822 0.537 0.851 0.712 1.000 0.872 0.508 0.729 0.822 0.872 1.000 0.491 0.549 0.537 0.508 0.491 1.000 Given the data above, compute the mean-variance objective of an investor if X = 1, and the investor sets w(LGGR)=0, w(LGVAL)=0, w(SMGR)=50%, W(SMVAL)=0 and w(INTL)=50%. Assume that the investment horizon is one-year