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Consider the following four risky assets: Expected Country ETF Returns Australia 10.00% Standard Deviation 12.00% Correlations Australia Austria Belgium Canada Australia 1.00 0.12 0.14 0.65 Austria 15.00% 17.00% Austria 0.12 1.00 0.33 0.02 Belgium 20.00% 25.00% Belgium 0.14 0.33 1.00 -0.04 Canada 28.00% Risk-free Asset 6.00% 32.00% 0.00% Canada 0.65 0.02 -0.04 1.00 Note the following: 1.55201 0.11546 g -0.17965 -0.48782 -7.58162 1.43095 h = 2.23334 3.91732 An investor currently has 50% of her money in "Australia" and 50% of her money in "Belgium". However, she wants to create a portfolio with the same expected return as her current portfolio, but with the lowest variance possible using all 4 assets, but not the risk- free asset. What percent of her money should she put into the "Canada" asset to achieve this goal? Answer in decimal format, rounded to 4 decimal places. For example, if your answer is 12.124%, enter "0.1212". If your answer is 12.188%, enter "0.1219".

Consider the following four risky assets: Expected Country ETF Returns Australia 10.00% Standard Deviation 12.00% Correlations Australia Austria Belgium Canada Australia 1.00 0.12 0.14 0.65 Austria 15.00% 17.00% Austria 0.12 1.00 0.33 0.02 Belgium 20.00% 25.00% Belgium 0.14 0.33 1.00 -0.04 Canada 28.00% Risk-free Asset 6.00% 32.00% 0.00% Canada 0.65 0.02 -0.04 1.00 Note the following: 1.55201 0.11546 g -0.17965 -0.48782 -7.58162 1.43095 h = 2.23334 3.91732 An investor currently has 50% of her money in "Australia" and 50% of her money in "Belgium". However, she wants to create a portfolio with the same expected return as her current portfolio, but with the lowest variance possible using all 4 assets, but not the risk- free asset. What percent of her money should she put into the "Canada" asset to achieve this goal? Answer in decimal format, rounded to 4 decimal places. For example, if your answer is 12.124%, enter "0.1212". If your answer is 12.188%, enter "0.1219".

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Consider the following four risky assets: Expected Country ETF Returns Australia 10.00% Standard Deviation 12.00% Correlations Australia Austria Belgium Canada Australia 1.00 0.12 0.14 0.65 Austria 15.00% 17.00% Austria 0.12 1.00 0.33 0.02 Belgium 20.00% 25.00% Belgium 0.14 0.33 1.00 -0.04 Canada 28.00% Risk-free Asset 6.00% 32.00% 0.00% Canada 0.65 0.02 -0.04 1.00 Note the following: 1.55201 0.11546 g -0.17965 -0.48782 -7.58162 1.43095 h = 2.23334 3.91732 An investor currently has 50% of her money in "Australia" and 50% of her money in "Belgium". However, she wants to create a portfolio with the same expected return as her current portfolio, but with the lowest variance possible using all 4 assets, but not the risk- free asset. What percent of her money should she put into the "Canada" asset to achieve this goal? Answer in decimal format, rounded to 4 decimal places. For example, if your answer is 12.124%, enter "0.1212". If your answer is 12.188%, enter "0.1219".
Transcribed Image Text:Consider the following four risky assets: Expected Country ETF Returns Australia 10.00% Standard Deviation 12.00% Correlations Australia Austria Belgium Canada Australia 1.00 0.12 0.14 0.65 Austria 15.00% 17.00% Austria 0.12 1.00 0.33 0.02 Belgium 20.00% 25.00% Belgium 0.14 0.33 1.00 -0.04 Canada 28.00% Risk-free Asset 6.00% 32.00% 0.00% Canada 0.65 0.02 -0.04 1.00 Note the following: 1.55201 0.11546 g -0.17965 -0.48782 -7.58162 1.43095 h = 2.23334 3.91732 An investor currently has 50% of her money in "Australia" and 50% of her money in "Belgium". However, she wants to create a portfolio with the same expected return as her current portfolio, but with the lowest variance possible using all 4 assets, but not the risk- free asset. What percent of her money should she put into the "Canada" asset to achieve this goal? Answer in decimal format, rounded to 4 decimal places. For example, if your answer is 12.124%, enter "0.1212". If your answer is 12.188%, enter "0.1219".
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