Assume there are N risky assets, the return of assets are r = (r1, ...,...
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Assume there are N risky assets, the return of assets are r = (r1, ..., rn), the risk free rate is rf, the covariance matrix of return is (in the picture). Construct a portfolio with these risky assets, with weights w = (w1,..., wn). (1) Derive the minimal variance portfolio (hint: calculus on matrix) (2) Derive the optimal risky portfolio (hint: sharpe ratio)
covariance matrix of return is En*n, Eij = Cov(ri, r;). Construct a portfolio with these risky assets, covariance matrix of return is En*n, Eij = Cov(ri, r;). Construct a portfolio with these risky assets
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Construct a portfolio with these risky assets, with weights w = (w1,..., wn). (1) Derive the minimal variance portfolio (hint: calculus on matrix) (2) Derive the optimal risky portfolio (hint: sharpe ratio)