Modern Portfolio Theory and Investment Analysis Chapter 5 Problem: 5We assume There is no short selling and the point where p= 1, security 2 is the least risky combination of security . It is required that X1 = 0 and X2 = 1 , X means that investment weight ratioSecuritiesExpected Return %Standart Deviation %Security 1105Security.
Modern Portfolio Theory and Investment Analysis – Chapter 4 Problem 1 Chapter 4 Problem 1Expected return of each assets: [pic 1]Standart deviations of each assets: [pic 2][pic 3]Covariance of return for Asset 1 and 2[pic 4]Covariance values for all possible pairsParticularsAsset 1Asset 2Asset3Asset 4Asset 18-4120Asset 2-42-60Asset 312-6180Asset 400010.7Correlation between asset 1 and 2 is :[pic.
