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Question 4) There are three securities in a portfolio. For each security, the geometric mean of rate of returns in ten years is shown in
Question 4) There are three securities in a portfolio. For each security, the geometric mean of rate of returns in ten years is shown in Table 2. The covariances between each security are shown in Table 3. It is assumed that no shortsales are allowed. Table 2. Geometric mean of rate of returns for each security Security Security A Security B Security C Geometric mean 9.76% 8.44% 7.19% Table 3. Covariances between rate of returns of securities Covariance Security A Security B Security C Security A 0.03685 0.01250 -0.00441 Security B 0.01250 0.01521 -0.00420 Security C -0.00441 0.00420 0.00536 Set the quadratic program to minimize the portfolio risk. (30 p.)
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