Introduction to Management Science 12th Edition by Bernard Taylor

تمرين 4

An investment adviser is helping a couple plan a retirement portfolio. The adviser has recommended three stocks-Allied Electronics, Bank United, and Consolidated Computers. Following are the annual return and variance for each stock and the covariance between stocks:

The couple wants a total portfolio return of at least.11. Determine the proportion of each stock to include in the portfolio to minimize the overall risk.