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The current weights of the portfolio are all 0.2. Determine which new weights will result in the least Standard deviation risk portfolio invested in all
The current weights of the portfolio are all 0.2. Determine which new weights will result in the least Standard deviation risk portfolio invested in all 5 tickers. Provide the weights:
WMT:
BLK:
PG:
JNJ:
GLD:
\begin{tabular}{|c|c|c|c|c|c|c|c|c|c|c|c|} \hline & & WMT & BLK & PG & JNJ & GLD & & & & & \\ \hline & MEAN & 0.0130 & 0.0117 & 0.0098 & 0.0061 & 0.0058 & & & & & \\ \hline & STD & 0.0538 & 0.0751 & 0.0493 & 0.0485 & 0.0394 & & & & & \\ \hline & & & & & & & & & & & \\ \hline & & & & & & & & & & & \\ \hline & & & & & & & & & & & \\ \hline & \multirow[t]{2}{*}{x} & 0.2000 & 0.2000 & 0.2000 & 0.2000 & 0.2000 & & & & & \\ \hline & & \multicolumn{4}{|c|}{ Covariance Matrix Matrix } & & & & & & \\ \hline WMT & 0.2000 & 0.002889 & 0.001649 & 0.001231 & 0.001227 & 0.000386 & 0.0001156 & 0.0000660 & 0.0000493 & 0.0000491 & 0.0000154 \\ \hline BLK & 0.2000 & 0.001649 & 0.005634 & 0.001025 & 0.001583 & 0.000333 & 0.0000660 & 0.0002254 & 0.0000410 & 0.0000633 & 0.0000133 \\ \hline PG & 0.2000 & 0.001231 & 0.001025 & 0.002432 & 0.001180 & 0.000729 & 0.0000493 & 0.0000410 & 0.0000973 & 0.0000472 & 0.0000292 \\ \hline JNJ & 0.2000 & 0.001227 & 0.001583 & 0.001180 & 0.002352 & 0.000306 & 0.0000491 & 0.0000633 & 0.0000472 & 0.0000941 & 0.0000122 \\ \hline \multirow[t]{6}{*}{ GOLD } & 0.2000 & 0.000386 & 0.000333 & 0.000729 & 0.000306 & 0.001556 & 0.0000154 & 0.0000133 & 0.0000292 & 0.0000122 & 0.0000622 \\ \hline & & & & & & & & & & & \\ \hline & \multicolumn{3}{|c|}{ sum of portfolio wgights =} & 1 & & & & & & & \\ \hline & \multicolumn{3}{|c|}{ The mean of the portfolio =} & 0.0093 & & & & & & & \\ \hline & \multicolumn{3}{|c|}{ The Variance of the portfolio =} & 0.0014 & & & & & & & \\ \hline & \multicolumn{3}{|c|}{ STD of the portfolio is } & 0.0370 & & & & & & & \\ \hline \end{tabular}Step by Step Solution
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