## EXPERT ANSWER

Solution:

A | Zenon | Dynamics | ||

2002 | 15.56% | 51.00% | ||

2003 | 18.34% | 78.56% | ||

2004 | 16.47% | 44.67% | ||

2005 | 7.56% | 67.56% | ||

2006 | 20.09% | 34.56% | ||

2007 | -15.23% | 24.42% | ||

2008 | 34.56% | 7.89% | ||

2009 | 13.56% | 24.78% | ||

2010 | -12.34% | 30.79% | ||

2011 | 9.89% | -47.67% | ||

Expected return | 10.85% | 31.66% | ||

Variance | 0.0221605 | 0.12221 | ||

Standard deviation | 14.89% | 34.96% | ||

covariance | 0.0012709 | |||

Weights for zenon | 40% | |||

Weights for dynamics | 60% | |||

Expected portfolio return | 23.33% | |||

Portfolio variance | 0.0482191 | |||

portfolio standard deviation | 21.96% | |||

The expected portfolio return would increases and portfolio variance and standard deviation increases.

B | Zenon | Dynamics | ||

2002 | 15.56% | 51.00% | ||

2003 | 18.34% | 78.56% | ||

2004 | 16.47% | 44.67% | ||

2005 | 7.56% | 67.56% | ||

2006 | 20.09% | 34.56% | ||

2007 | -15.23% | 24.42% | ||

2008 | 34.56% | 7.89% | ||

2009 | 13.56% | 24.78% | ||

2010 | -12.34% | 30.79% | ||

2011 | 9.89% | -47.67% | ||

Expected return | 10.85% | 31.66% | ||

Variance | 0.0221605 | 0.12221 | ||

Standard deviation | 14.89% | 34.96% | ||

covariance | 0.0012709 | |||

Weights for zenon | 30% | |||

Weights for dynamics | 70% | |||

Expected portfolio return | 25.41% | |||

Portfolio variance | 0.0624704 | |||

portfolio standard deviation | 24.99% |

The expected portfolio return would increases and portfolio variance and standard deviation increases