Computation of weights of the individual stocks

Assignment Help Finance Basics

Reference no: EM1315434

Computation of Weights of the individual stocks, Expected returns, Variance-covariance matrix and volatilities

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 covariance.

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 ω is the N X 1 vector of portfolio weights and Ω is the N X N variance-co variance matrix, then the portfolio variance is σ_p² = ω\'Ωω and portfolio volatility is σ_p = (ω\'Ωω)^1/2.

Reference no: EM1315434

Questions Cloud

Algebraically resolve demand and supply equation : Lawn mowing services are supplied by a host of individuals in the suburb of Westbrook-Algebraically determine the equilibrium industry price/output combination.

Crowding-out effect also the ricardo-barro effect : Distinguish between the crowding-out effect also the Ricardo-Barro effect. Elucidate how are the two effects related

Evaluating true average number of copies : Use this information to make a 95% confidence interval to evaluate true average number of copies made each day at this company.

Finding the possible length using the law of cosine : Finding the possible length using the law of cosine.

Computation of weights of the individual stocks : Computation of Weights of the individual stocks, Expected returns, Variance-covariance matrix and volatilities

Probability of a type i error : Find the probability of a type I error α if the true proportion is p=0.6.

Elucidate the way in which short-run afc : Elucidate the way in which short-run AFC, AVC, ATC also MC vary as the output of the firm increases.

Factors which affecting level of productivity of labour : Consider the following situations. Evaluate how they would affect the level of productivity of labour.

Deducing an expression for pp : Utilizing the information above, deduce an expression for the PP, and provide comment on resulting expression. Also, what the ATM services would you utilize in order to obtain the best possible performance?

User Account

All Pages