Introduction to Management Science 12th Edition by Bernard Taylor

تمرين 6

Mark Decker has identified four stocks for his portfolio, and he wants to determine the percentage of his total available funds he should invest in each stock. The alternative stocks include an Internet company, a computer software company, a computer manufacturer, and an entertainment conglomerate. He wants a total annual return of.12. From historical data, he has determined the average annual return and variance for each of the funds, as follows:
He has also estimated the covariances between stocks, as follows:
Determine the percentage of Mark's total funds that he should invest in each stock to minimize his overall risk.