F2 please help...... Consider the following four risky assets:ExpectedCountry ETFReturnsAustralia10.00%StandardDeviation12.00%Correlations AustraliaAustriaBelgiumCanadaAustralia1.000.120.140.65Austria15.00%17.00%Austria0.121.000.330.02Belgium20.00%25.00%Belgium0.140.331.00-0.04Canada28.00%Risk-free Asset6.00%32.00%0.00%Canada0.650.02-0.041.00Note the following:1.552010.11546g-0.17965-0.48782-7.581621.43095h =2.233343.91732An 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 hercurrent 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 achievethis goal?Answer in decimal format, rounded to 4 decimal places. For example, if your answer is12.124%, enter "0.1212". If your answer is 12.188%, enter "0.1219".

Step 1: Determine the Expected Return of the Current PortfolioCurrent Portfolio Composition:50% in…

Answered: Consider the following four risky…

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

Problem 1PS

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What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (SDi), covariance (COVij), and asset weight (Wi) are as shown below? Asset (A) E(R₂) = 10% SDA = 8% WA = 0.25 COVAB = 0.006 Select one: A. 13.75% B. 7.72% C. 12.5% D. 8.79% Asset (B) E(RB) = 15% SDB = 9.5% WB = 0.75
2) Calculate the envelope set (frontier) for the following four assets and show that the individual assets all lie within this envelope set. 123456 A B E A FOUR-ASSET PORTFOLIO PROBLEM C Variance-covariance 0.01 0.30 0.06 -0.04 0.10 0.01 0.03 0.05 0.03 0.06 0.40 0.02 D 0.05 -0.04 0.02 0.50 F Mean returns 6% 8% 10% 15%
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What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (SDi), covariance (COVij), and asset weight (Wi) are as shown below? Asset (A) E(R₁) = 10% SDA = 8% WA = 0.25 COVAB = 0.006 Asset (B) E(R₂) = 15% SDB = 9.5% WB = 0.75
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You are analyzing risk and return and CAPM using the historical data provided below (the same as the downloadable file DataQ16.xlsx ). YYYYMM Return(Stk) Return(Mkt) Return(T-bill) 201601 -4.98% -10.18% 0.05% 201602 -2.07% -2.90% 0.06% 201603 11.63% 8.71% 0.06% 201604 0.32% 1.40% 0.07% 201605 9.39% -1.20% 0.09% 201606 1.62% -0.10% 0.09% 201607 5.91% 5.28% 0.09% 201608 8.20% 4.96% 0.08% 201609 5.55% 1.39% 0.09% 201610 -3.38% -1.56% 0.11% 201611 -5.88% -0.63% 0.11% 201612 -2.07% -3.46% 0.12% 201701 7.75% 6.18% 0.14% 201702 1.27% 1.63% 0.14% 201703 7.63% 1.56% 0.09% 201704 9.25% 2.09% 0.09% 201705 10.20% 4.25% 0.08% 201706 4.33% 0.41% 0.09% 201707 12.25% 6.05% 0.11% 201708 4.98% 2.37% 0.11% 201709 2.19% -1.49% 0.09% 201710 4.05% 2.51% 0.09% 201711 13.78%…

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