Determine the safest attainable portfolio

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Your eccentric Aunt Claudia has left you $50,000 in Alcan shares plus $50,000 cash. Unfortunately her will requires that the Alcan stock not be sold for one year and the $50,000 cash must be entirely invested in one of the stocks shown in Table 7.8. What is the safest attainable portfolio under these restrictions?

Correlation Coefficients
Alcan BP Deutsche Bank KLM LVMH Nestle Sony Standard deviation
Alcan 1 0.39 0.55 0.54 0.61 0.26 0.36 30.20%
BP 1 0.23 0.29 0.22 0.3 0.14 23.90%
Deutsche Bank 1 0.36 0.48 0.16 0.39 38.10%
KLM 1 0.49 0.32 0.19 54.50%
LVMH 1 0.02 0.5 42.00%
Nestle 1 0.1 15.50%
Sony 1 47.50%

 

Reference no: EM1357525

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