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Annualized standard deviation of the portfolio

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Reference no: EM133070733

Use the 60 monthly returns from September 2016 to August 2021 of Johnson & Johnson (JNJ) and Goldman Sachs (GS).

(If the answer is 12.34%, then submit 12.34 instead of 0.1234 or 12.34%; you can download either raw data from Yahoo Finance or DJIA_RETURNS_211006_PIVOT.csv from Canvas.)

a. What is the annualized standard deviation of the portfolio that invests 67% to JNJ and 33% to GS?

b. Use Solver in Excel to find the JNJ-GS portfolio that has the minimum possible portfolio standard deviation. What is this portfolio's JNJ weight?

c. Use Solver in Excel to find the JNJ-GS portfolio that has the maximum possible Sharpe ratio-assume that the risk-free rate is zero. What is this portfolio's JNJ weight?

Reference no: EM133070733

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