(Solution) - Given Professor Singer s variance covariance matrix a Calculate the variance of an -(2025 Original AI-Free Solution)

Paper Details

Given Professor Singer's variance-covariance matrix:

(a) Calculate the variance of an equally weighted portfolio.
(b) Calculate the covariance of a portfolio that has 10% in asset 1,80% in asset 2, and 10% in asset 3 with a second portfolio that has 125% in asset 1, -10% in asset 2, and -15% in asset 3.