Assume that you are given the following means, standard deviations, and correlations for the annual return on three stocks. The correlation between stocks 1 and 2 is 0.62, between stocks 1 and 3 is 0.72, and between stocks 2 and 3 is 0.39. You have $12,000 to invest and can invest no more than 55% of your money in any single stock. Determine the minimum variance portfolio that yields an expected annual return of at least 0.15

Question

Assume that you are given the following means, standard deviations, and correlations for the annual return on three stocks.  The correlation between stocks 1 and 2 is 0.62, between stocks 1 and 3 is 0.72, and between stocks 2 and 3 is 0.39. You have $12,000 to invest and can invest no more than 55% of your money in any single stock. Determine the minimum variance portfolio that yields an expected annual return of at least 0.15

Quizplus · Accepted Answer

The Answer of Assume that you are given the following means, standard deviations, and correlations for the annual return on three stocks.  The correlation between stocks 1 and 2 is 0.62, between stocks 1 and 3 is 0.72, and between stocks 2 and 3 is 0.39. You have $12,000 to invest and can invest no more than 55% of your money in any single stock. Determine the minimum variance portfolio that yields an expected annual return of at least 0.15

Assume That You Are Given the Following Means, Standard Deviations