%Assignment2

%%Gross return
%Two assets : Expected return(ERa,ERb)
c =[1.1 1.2]

%Variance-Covariance matrix
%sigma = [0.1 0.25] for asset A and B
%Var = sigma^2
%Cov = -0.9999*sqrt(x)*sqrt(y)
H =[0.01 -0.9999*sqrt(0.01)*sqrt(0.0625); -0.9999*sqrt(0.01)*sqrt(0.0625) 0.0625]
H_inv = inv(H)

e =ones(size(c))
alpha =e*H_inv*transpose(c) 
sigma =c*H_inv*transpose(c)
delta =e*H_inv*transpose(e)

%Optimal weight Min variance portfolio
R_bar =alpha/delta
variance =1/delta
std =sqrt(variance)
Weight = (1/delta)*e*H_inv