Paterson Asset Management (PAM) - Questions Help

Question 2

Paterson Asset Management (PAM) wishes to create a risk allocated portfolio to take advantage of the economic forecasts. They would like to allocate marginal contribution to risk (MCR) for the four assets as follows:

92 quarterly returns data for the four assets is provided in "Quiz 3.xlsx" in the tab "SAA".

-  What dollar allocation (proportion) in each asset will produce the desired level of MCRs?

-  Commodities = 0.21; Hedge Funds =0.37; Private Equity = 0.3; REITs = 0.12

-  Not enough information to calculate the correct answer.

-  Commodities = 0.06; Hedge Funds =0.45; Private Equity = 0.2; REITs = 0.28

-  Commodities = 0.16; Hedge Funds =0.46; Private Equity = 0.17; REITs = 0.20

None of the three numerical answers are correct