INV2601/101/3/2026
Tutorial Letter 101/3/2026
Fundamentals of Investment
INV2601
Assignment 02
Semester 2
Department of Finance, Risk Management and
Banking
Note: This is a fully online module. It is, therefore, only available on myUnisa.
, QUESTION 1
Use the information in the table to answer question below:
Shares Expected return Standard Weight in portfolio
deviation
Y 6% 5% 60%
Z 14% 12% 40%
A portfolio is made up of shares Y and Z. The correlation coefficient of shares Y
and Z is 0.90.
1. Determine the optional asset allocation between shares Y and Z that will
produce the lowest risk, assuming the covariance of shares Y and Z is 4.
To determine the optimal asset allocation that produces the lowest risk, we need to calculate
the weights for the Minimum Variance Portfolio (MVP).
WY = 122 – 4
52 + 122 – 2(4)
WY = 144 - 4
25 + 144 -2(4)
Tutorial Letter 101/3/2026
Fundamentals of Investment
INV2601
Assignment 02
Semester 2
Department of Finance, Risk Management and
Banking
Note: This is a fully online module. It is, therefore, only available on myUnisa.
, QUESTION 1
Use the information in the table to answer question below:
Shares Expected return Standard Weight in portfolio
deviation
Y 6% 5% 60%
Z 14% 12% 40%
A portfolio is made up of shares Y and Z. The correlation coefficient of shares Y
and Z is 0.90.
1. Determine the optional asset allocation between shares Y and Z that will
produce the lowest risk, assuming the covariance of shares Y and Z is 4.
To determine the optimal asset allocation that produces the lowest risk, we need to calculate
the weights for the Minimum Variance Portfolio (MVP).
WY = 122 – 4
52 + 122 – 2(4)
WY = 144 - 4
25 + 144 -2(4)
