+1-415-315-9853

info@mywordsolution.com

Finance

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

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)                Weights of the individual stocks in the tangency portfolio;

(B)                Expected returns and volatilities of the individual stocks;

(c)                Variance-covariance matrix;

(d)                Expected return and volatility of the tangency portfolio;

(e)                Sharpe ratio of the tangency portfolio;

Use 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.:- M919639

Have any Question?

Related Questions in Portfolio Management

Create an organization chart to identify a companys formal

Create an organization chart to identify a company's formal communication network. Think of an organization where you've worked recently. Create an organization chart for two or three levels of employees. Then add arrows ...

1 what is a financial crisis2 what is a bank run does a

1. What is a financial crisis? 2. What is a bank run? Does a bank have to be insolvent to experience a run? 3. What is contagion? What is the connection between contagion and a bank panic? 4. What is the connection betwe ...

Revise to convey a confident tone-revise the following

Revise to convey a confident tone:- Revise the following sentences to convey an appropriately confident attitude. a. Can you think of any reason not to buy a wristwatch for dressy occasions? b. I hope you agree that my o ...

Prtfolio simulation competitionthe objective of this

PORTFOLIO SIMULATION COMPETITION The objective of this competition is to provide you with hands-on portfolio management experience, to help you feel the pulse of dynamic stock market, and to help you learn how to manage ...

In this assignment you will build a stock portfolio manager

In this assignment you will build a stock portfolio manager. The manager program will consist of 3 dictionaries. The first dictionary, called Names, maps the stock symbol to the company name (example: "GM" maps to "Gener ...

Discussion 1 hotelswhen a guest stays at a hotel they are

Discussion 1: "Hotels" When a guest stays at a hotel, they are, at-the-minimum, promised a clean, safe and comfortable accommodation. In addition, depending on the type of hotel, they may also have the opportunity to rel ...

Capital asset pricing modelifor each of the scenarios below

Capital Asset Pricing Model I. For each of the scenarios below, explain whether or not it represents a diversifiable or an undiversifiable risk. Please consider the issues from the viewpoint of investors. Explain your re ...

Eliminate hidden verbs and hidden subjectsrevise the

Eliminate hidden verbs and hidden subjects Revise the following sentences to eliminate hidden verbs and hidden subjects. a. The jury needs to carry out a review of the case to make a decision about whether the actress ha ...

Finance stock markettwo pages reponse base on my stock

Finance Stock market Two pages reponse base on my stock portfolio. Choose( Apple Inc.) to write the journal and use the S&P 500 data. Your Module assignment will have two parts: 1. Discuss your stock performance for your ...

Portfolio audience expectations- professional quality each

Portfolio: Audience Expectations - Professional Quality: each draft follows the paper formatting guidelines outlined in the course information sheet. - Revisions: each draft reflects quality revision work. It's clear tha ...

• 13,132 Experts

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Section onea in an atwood machine suppose two objects of

SECTION ONE (a) In an Atwood Machine, suppose two objects of unequal mass are hung vertically over a frictionless

Part 1you work in hr for a company that operates a factory

Part 1: You work in HR for a company that operates a factory manufacturing fiberglass. There are several hundred empl

Details on advanced accounting paperthis paper is intended

DETAILS ON ADVANCED ACCOUNTING PAPER This paper is intended for students to apply the theoretical knowledge around ac

Create a provider database and related reports and queries

Create a provider database and related reports and queries to capture contact information for potential PC component pro

Describe what you learned about the impact of economic

Describe what you learned about the impact of economic, social, and demographic trends affecting the US labor environmen