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The expected annual returns from investing in four different national stock markets, and the variance/covariance matrix between them, are given below: Expected Return National Market
The expected annual returns from investing in four different national stock markets, and the variance/covariance matrix between them, are given below:
Expected Return | National Market | Variance/Covariance Matrix | |||
UK | US | Japan | Germany | ||
0.16 | UK | 0.10 | 0.04 | 0.02 | 0.03 |
0.15 | US | 0.04 | 0.06 | 0.03 | 0.02 |
0.13 | Japan | 0.02 | 0.03 | 0.04 | 0.01 |
0.14 | Germany | 0.03 | 0.02 | 0.01 | 0.05 |
Calculate the expected return and the volatility (standard deviation) for a portfolio invested as follows: UK 20%, US 30%, Japan 30%, Germany 20%.
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