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## Finance

 Basic Finance Corporate Finance Financial Management Financial Econometrics Portfolio Management Risk Management Public Finance Business Law & Ethics

Tangency Portfolio Problem. problem: Collect 10 years of monthly returns for four stocks. Sample of ten years of monthly data should be a pretty reasonable estimate of expected returns, variances, and covariance.

[A] Using this information, find out the tangency portfolio. You have to report

(a) Corresponding weights of the Tangency and T-Bill portfolios;

(b) Expected return and volatility of the complete portfolio.

Apply solver to find out the tangency portfolio in M.S. Excel. Print and submit two Excel spreadsheets: one with the starting values for portfolio weights, another with the optimal portfolio weights. The Excel Spreadsheet Tangency Portfolio.xls with similar problem is placed on ANGEL in the "Excel exs" folder. You can use it as a template for this problem. This problem aims at demonstrating that the concepts we discussed in class hold in a more general setting than just a two-stock market. If you like, you can easily make the tangency using 5 & more stocks.

Suggestion: Apply vector formulation; it is very easy to compute portfolio's variance! If ω is the N Χ 1 vector of portfolio weights and Ω is the N Χ N variance-co variance matrix, then the portfolio variance is

Portfolio Management, Finance

• Category:- Portfolio Management
• Reference No.:- M919641

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