Find the combination of the weights that minimizes cv

Assignment Help Financial Accounting

Reference no: EM132720279

The company average rate of return for these companies for 20 years are Amazon was 27.7%, for Coca Cola 14.4%, while bank of America 20.5.%, Walmart 12.6%, and Apple 16.2%.

Problem 1. Calculate the mean, variance, and the standard deviation of each security's annual rate of return.

Problem 2. Calculate the correlation coefficient between every possible pair of securities' annual rates of return.

Problem 3. Choose percentages of your initial investment that you want to allocate amongst the five (5) securities (weights in the portfolio). Create embedded formulae which generate statistical properties of the portfolio upon insertion of the weights. Observe the mean, the standard deviation, and the CV of the annual rate of return of the portfolio.

Problem 4. Find the combination of the weights that minimizes CV of the portfolio. How the CV of the optimal portfolio compares with the CV's of its constituents. What is the expected rate of return and standard deviation of the rate of return of the portfolio?

Problem 5. Choose different values within the range of the standard deviation of the portfolio, and for each chosen value locate the corresponding point on the efficient frontier by finding the weights that maximize the expected rate of return of the portfolio. Subsequently, construct the efficient frontier of your portfolio.

Problem 6. Assume that you initially invested $1,000,000 in the portfolio and that the distribution of the annual rate of return of the portfolio is normal. What is the distribution of the return of the portfolio 20 years after its formation? Provide the graph of the distribution of the return of portfolio.

Reference no: EM132720279

Questions Cloud

How do managers effectively control their responsibilities : The basic control process and methods (bureaucratic, objective, normative, concertive and self-control) to achieve to enhance performance in an organization.

Conduct a porter five force model on cvs health : Conduct a Porter's Five Force model on CVS Health

Address the needs of the diverse workforce : Why is it important to identify and adapt professional development opportunities to address the needs of the diverse workforce?

Explain organizational culture : Explain organizational culture and how it impacts individual and organizational performance.

Find the combination of the weights that minimizes cv : Find the combination of the weights that minimizes CV of the portfolio. How the CV of the optimal portfolio compares with the CV's of its constituents.

Operational plan for running a cafe : Outline at least three (3) legislative and regulatory requirements that would relate to an Operational Plan for running a café.

What law prohibits sexual harassment in the workplace : A few years ago, Alyssa Milano popularized a movement (created a decade before by the activist Tarana Burke) with "#metoo" on Twitter by explaining

Find the inter-quartile range of the distribution : The following are the valuations (in thousands of dollars) of 16 randomly selected properties sold during the past year in St. Louis

Calculate the risk-free rate using the pure rate : Calculate the risk-free rate using the pure rate and the inflation premium. Next, use this risk-free rate to find the required return on the stock

User Account

All Pages