You have collected the following data on the returns of George Aviation (GA) and Aw Under...

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Finance

You have collected the following data on the returns of GeorgeAviation (GA) and Aw Under Bins Suction (AUB) over the last 10years:
Year GA AUB
1 19% 3%
2 14% 7%
3 18% -2%
4 13% 5%
5 12% 8%
6 17% 2%
7 16% -3%
8 10% 4%
9 11% 1%
10 20% 0%
Given this information, find the optimal weights of a portfoliothat consists of these two securities assuming a minimum acceptablereturn of 2%. Then, calculate the return on the optimal portfolio,its standard deviation, and its safety-first ratio.

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Transcribed Image Text

You have collected the following data on the returns of GeorgeAviation (GA) and Aw Under Bins Suction (AUB) over the last 10years:YearGAAUB119%3%214%7%318%-2%413%5%512%8%617%2%716%-3%810%4%911%1%1020%0%Given this information, find the optimal weights of a portfoliothat consists of these two securities assuming a minimum acceptablereturn of 2%. Then, calculate the return on the optimal portfolio,its standard deviation, and its safety-first ratio.

Year	GA	AUB
1	19%	3%
2	14%	7%
3	18%	-2%
4	13%	5%
5	12%	8%
6	17%	2%
7	16%	-3%
8	10%	4%
9	11%	1%
10	20%	0%