| Author: | Homework Help Classof1 | ISBN: | 1230000114311 |
| Publisher: | Classof1 | Publication: | March 11, 2013 |
| Imprint: | Language: | English |
| Author: | Homework Help Classof1 |
| ISBN: | 1230000114311 |
| Publisher: | Classof1 |
| Publication: | March 11, 2013 |
| Imprint: | |
| Language: | English |
"Tangency Portfolio Problem. From finance.yahoo.com collect 10 years of monthly returns for four stocks. Sample of 10 years of monthly data should be a pretty reasonable estimate of expected returns, variances, and covariances.
Using this data, compute the tangency portfolio. You have to report
i. Weights of the individual stocks in the tangency portfolio;
ii. Expected returns and volatilities of the individual stocks;
iii. Variance-covariance matrix;
iv. Expected return and volatility of the tangency portfolio;
v. Sharpe ratio of the tangency portfolio;
Hint: using vector formulation, it is very easy to compute portfolio’s variance! If is the N 1 vector of portfolio weights and is the N N variance-co variance matrix, then the portfolio variance is = and portfolio volatility is = .
"
"Tangency Portfolio Problem. From finance.yahoo.com collect 10 years of monthly returns for four stocks. Sample of 10 years of monthly data should be a pretty reasonable estimate of expected returns, variances, and covariances.
Using this data, compute the tangency portfolio. You have to report
i. Weights of the individual stocks in the tangency portfolio;
ii. Expected returns and volatilities of the individual stocks;
iii. Variance-covariance matrix;
iv. Expected return and volatility of the tangency portfolio;
v. Sharpe ratio of the tangency portfolio;
Hint: using vector formulation, it is very easy to compute portfolio’s variance! If is the N 1 vector of portfolio weights and is the N N variance-co variance matrix, then the portfolio variance is = and portfolio volatility is = .
"
