Assume that erdell 015 and ermsf t 005 and that their


Assume that E[RDell] = 0.15%; and E[RMsf t] = 0.05%; and that their daily percentage returns have the following covariance matrix.

Dell Microsoft

Dell 0.400 -0.300

Microsoft -0.300 0.400

Weight of asset 1 is 0.30, weight of asset 2 is 0.71

Minimum variance weight=0.73

Assuming the optimal weighting you found in 25 and a $1,000 portfolio: What is the expected return: (a) 0.42; (b) 0.21; (c) 0.72; (d) 0.09.

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Financial Management: Assume that erdell 015 and ermsf t 005 and that their
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