Your eccentric Aunt Claudia has left you $50,000 in BP shares plus $50,000 cash. Unfortunately, her will requires that the BP stock not be sold for one year and the $50,000 cash must be entirely invested in one of the stocks shown below. BHP Agricultural Billiton BP Siemens Nestlé Sony Sanofi Bank BHP Billiton 1.00 0.34 0.05 0.37 0.55 0.47 0.44 BP 1.00 0.34 0.16 0.14 0.31 0.12 Siemens 1.00 0.09 0.10 0.02 0.10 Nestlé 1.00 0.33 0.51 0.06 Sony 1.00 0.20 0.30 Sanofi 1.00 0.31 Agricultural Bank 1.00 Standard deviation (%) 23.60 27.90 9.09 17.20 26.70 29.50 24.80 a. Calculate the portfolio variance for seven different portfolios. Note: Use decimals, not percents, in your calculations. Do not round intermediate calculations. Enter your answers as a decimal rounded to 5 places. b. What is the safest attainable portfolio under these restrictions?
Your eccentric Aunt Claudia has left you $50,000 in BP shares plus $50,000 cash. Unfortunately, her will requires that the BP stock not be sold for one year and the $50,000 cash must be entirely invested in one of the stocks shown below. BHP Agricultural Billiton BP Siemens Nestlé Sony Sanofi Bank BHP Billiton 1.00 0.34 0.05 0.37 0.55 0.47 0.44 BP 1.00 0.34 0.16 0.14 0.31 0.12 Siemens 1.00 0.09 0.10 0.02 0.10 Nestlé 1.00 0.33 0.51 0.06 Sony 1.00 0.20 0.30 Sanofi 1.00 0.31 Agricultural Bank 1.00 Standard deviation (%) 23.60 27.90 9.09 17.20 26.70 29.50 24.80 a. Calculate the portfolio variance for seven different portfolios. Note: Use decimals, not percents, in your calculations. Do not round intermediate calculations. Enter your answers as a decimal rounded to 5 places. b. What is the safest attainable portfolio under these restrictions?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Your eccentric Aunt Claudia has left you $50,000 in BP shares plus $50,000 cash. Unfortunately, her will requires that the BP stock not
be sold for one year and the $50,000 cash must be entirely invested in one of the stocks shown below.
BHP
Billiton
Agricultural
BP
Siemens
Nestlé
Sony
Sanofi
Bank
BHP Billiton
1.00
0.34
0.05
0.37
0.55
0.47
0.44
BP
1.00
0.34
0.16
0.14
0.31
0.12
Siemens
1.00
0.09
0.10
0.02
0.10
Nestlé
1.00
0.33
0.51
0.06
Sony
1.00
0.20
0.30
Sanofi
1.00
0.31
Agricultural Bank
1.00
Standard deviation (%)
23.60
27.90
9.09
17.20
26.70
29.50
24.80
a. Calculate the portfolio variance for seven different portfolios.
Note: Use decimals, not percents, in your calculations. Do not round intermediate calculations. Enter your answers as a
decimal rounded to 5 places.
b. What is the safest attainable portfolio under these restrictions?
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