Σ= 5 20 . 2. Three risky assets: RF = 4, R′ = [5, 9, 8], and
EC7092 Summer Term 2019
Coursework 1: Calculating Optimal Risky Portfolios Deadline: 01 July 2019
Calculate the optimal risky portfolio for the following cases when short-sales are allowed:
1. Two risky assets: RF = 3, R′ = [6, 9], and
􏰀4 5􏰁
10 0 0 Σ=0 40 0.
0 0 20 3. Three risky assets: RF = 5, R′ = [12, 9, 8], and
40 10 −5 Σ=10 20 0.
−5 0 30 4. Five risky assets: RF = 2, R′ = [5,3,18,9,2], and
2 16 5 0 8
1610−122 7 Σ=5 −12 20 14 27.
0 2 14 9 −13 8 7 27 −13 2
1