According to the mean-variance criterion, which one of the following investments dominates all others? a. E(r) = .15; Variance = .2 b. E(r) = .1; Variance = .2 c. E(r) = .1; Variance = .25 e. none of these dominates the other alternatives

1. Please, compute mean returns, variances and covariance among the two assets of the IBEX35 and present the vector of returns and the matrix.

9. A risk averse, wealth maximising, investor is faced with a choice between four investments (P, Q, R and S) that have profiles as follows: 
  Mean return (%)        Variance (%)       P 19                      18 
    Q 16                     17     
R 22                     16 
    S 20                     16 
 Between which pair of these investments would the investor find it impossible to distinguish on the basis of the above information?   A. P and Q 
   B. R and S 
   C. P and S 
   D. Q and R

Asset X has an expected return of 6% and a variance of 0.001. Asset Y has an expected return of 12% and the same variance as X (i.e., 0.001). The returns of assets X and Y are uncorrelated, and the risk-free rate is 3%. Find the variance of the highest Sharpe ratio portfolio that can be formed of the two risky assets X and Y.

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