For this assignment, please use excel file group_assignment_1_portfolios.xls posted on blackboard under the folder of Ex
Posted: Wed Mar 09, 2022 8:41 am
For this assignment, please use excel file
group_assignment_1_portfolios.xls posted on blackboard under the
folder of Excel Files. The file contains the monthly returns of 4
stocks over the 10 year period -- January 1997 -- December 2006. In
this file, the expected monthly return for each stock is calculated
using excel function AVERAGE (), for each stock, the variance of
monthly returns is calculated using Excel function VAR (), and the
covariance between the returns of each pair of stocks is calculated
using Excel function COVAR ().
Assume that the yearly risk free rate is 2% (A monthly risk free
rate of 0.001652).
For questions (b), (c), and (d), we assume that investors invest
in the risk-free asset and 4 risky assets (PG, Microsoft, BAC, and
Exxon).
(b) Find the optimal investment portfolio in the risky
assets. What are the mean and s.d. of the returns of this
portfolio?
group_assignment_1_portfolios.xls posted on blackboard under the
folder of Excel Files. The file contains the monthly returns of 4
stocks over the 10 year period -- January 1997 -- December 2006. In
this file, the expected monthly return for each stock is calculated
using excel function AVERAGE (), for each stock, the variance of
monthly returns is calculated using Excel function VAR (), and the
covariance between the returns of each pair of stocks is calculated
using Excel function COVAR ().
Assume that the yearly risk free rate is 2% (A monthly risk free
rate of 0.001652).
For questions (b), (c), and (d), we assume that investors invest
in the risk-free asset and 4 risky assets (PG, Microsoft, BAC, and
Exxon).
(b) Find the optimal investment portfolio in the risky
assets. What are the mean and s.d. of the returns of this
portfolio?