Question 3 Minimum-variance portfolios Instead of investing in a single security portfolio, you will also propose your risk-averse clients

s to invest in a minimum-variance portfolio. Required: a) Calculate the weighted average rate of return and standard deviation of returns for each combination of securities containing different weight of each: i. Sainsbury BAT ii. Sainsbury GSK iii. Sainsbury-Gold iv. BAT GSK v. BAT Gold vi. GSK Gold For example, for Sainsbury BAT portfolio: Weight Weighted average rate of return BAT 1.0 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 Standard deviation of returns

portfolio 1 2 3 4 5 6 7 8 9 10 11

sainsbury 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0