Determine the tangency portfolio weights

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Reference no: EM133121318

Returns V F

GM WMT Y

V 27.226 588.659 -275.078 -319.948 -36.805 -93.170

F. 11.653. -275.078 5716.621 22.772. 56.588. 52.187

GM 4.633 -319.948 22.772 729.510 569.730 -258.506

WMT 12.905. -36.805 56.588 569.730. 932.361 367.376

Y 6.908 -93.170 52.187 -258.506 367.376 1466.966

T-Bill 3.000

Questions

a) Determine the Tangency portfolio weights and calculate its expected return, standard deviation and Sharpe Ratio. Assume short sales are allowed. Write the equation of risk-return relations.

b) Determine the Tangency portfolio and calculate its expected return, standard deviation and Sharpe Ratio assuming NO SHORT SALE.

c) Create a portfolio G from these stocks that has 20% rate of return. What is the Sharpe Ratio of portfolio G?

Reference no: EM133121318

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