Access over 20 million homework & study documents

Econ

Content type
User Generated
Subject
Business
School
Anderson University
Type
Homework
Rating
Showing Page:
1/2
QUESTION (a) and (d)
(a) Plot the minimum variance frontier for an investor who wants to allocate his money to
PG, BAC, and the risk-free asset. Find the optimal risky portfolio. What are the mean and
s.d. of the returns of this portfolio? 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).
Answer
sum
1.301711
1.782486
1.39064
1.445118
Average
0.010848
0.014854
0.011589
0.012043
variance
0.004441
0.012713
0.005564
0.002796
Std
Deviation
0
0
0
0
covariance
0
0
0
0
0
0
0
0.002
0.004
0.006
0.008
0.01
0.012
0.014
0 1 2 3 4 5 6
Expected return
variance
Minimum variance frontier
PG Microsoft BAC Exxon Variance
0.010848 0.014854 0.011589 0.012043 Variance

Sign up to view the full document!

lock_open Sign Up
Showing Page:
2/2

Sign up to view the full document!

lock_open Sign Up
Unformatted Attachment Preview
QUESTION (a) and (d) (a) Plot the minimum variance frontier for an investor who wants to allocate his money to PG, BAC, and the risk-free asset. Find the optimal risky portfolio. What are the mean and s.d. of the returns of this portfolio? 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). Answer sum Average variance Std Deviation 1.301711 1.782486 1.39064 1.445118 0.010848 0.014854 0.011589 0.012043 0.004441 0.012713 0.005564 0.002796 covariance 0 0 0 0 0 0 0 0 0 0 Minimum variance frontier 0.01 ...
Purchase document to see full attachment
User generated content is uploaded by users for the purposes of learning and should be used following Studypool's honor code & terms of service.

Anonymous
This is great! Exactly what I wanted.

Studypool
4.7
Trustpilot
4.5
Sitejabber
4.4