Compute the continuous rate of return

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Reference no: EM13669466

Based on the monthly data for 14 stocks and the individual assigned historical data given in this Excel file , you are required to model the following for all the 14 given stocks:

(1) Compute the continuous rate of return, standard deviation, and variance for each stock.

(2) Construct the var-covar matrix for your portfolio.

(3) Construct the global minimum variance portfolio (GMVP).

(4) Construct the optimal portfolio.

(5) Construct the efficient frontier for your portfolio, assuming a monthly risk-free rate of 0.01%.

(6) Produce a graph of your portfolio's efficient frontier and the tangent line to this frontier going through the risk-free rate on the vertical axis of your graph.

Reference no: EM13669466

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