Use the following variance-covariance matrix and vector of mean returns to find two efficient portfolios by choosing two constants 'c': first choose c=0 and then c=0.065 (hypothetical riskless rates) and infer the corresponding tangency portfolios x and y. Then form a portfolio made up of these two efficient portfolios x and y, assigning a weight lambda to portfolio x and (1-lambda) to portfolio y. Finally, use the Excel solver (or 'goal seek') to find the weights, expected return, and standard deviation of the 'zero beta' portfolio with respect to y. (Hint: use the 'portfolio covariance formula' in the class notes to compute the covariance between the zero-beta portfolio and portfolio y).
