Solution-Construct the covariance matrix for all five assets

Construct the covariance matrix for all five assets

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Reference no: EM133074299

Given the following information from the Partners Health case study, please perform the following tasks:

Annual Expected Returns, Standard Deviations
Asset Class	Expected Ret.		Stdev
US Equity	12.94%		15.21%
Foreign Equity	12.42%		14.44%
Bonds	5.40%		11.10%
REITs	9.44%		13.54%
Commodities	10.05%		18.43%
STP	3.20%		0%
			Correlation Matrix
	US Equity	Foreign Equity	Bonds	REITs	Commodities
US Equity	1.000	0.620	0.250	0.560	-0.020
Foreign Equity	0.620	1.000	0.060	0.400	0.010
Bonds	0.250	0.060	1.000	0.160	-0.070
REITs	0.560	0.400	0.160	1.000	-0.010
Commodities	-0.020	0.010	-0.070	-0.010	1.000

Construct the covariance matrix for all five assets being considered for the new allocation
Construct the efficient frontier using all five assets including REITs and commodities by producing the content of Exhibit 8 in the Partners Health Case
Calculate the information needed to plot the Capital Allocation Line
Plot both efficient frontier and the CAL

Reference no: EM133074299

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Construct the covariance matrix for all five assets

Reference no: EM133074299

Reference no: EM133074299

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