Find the variance-covariance matrix for the four assets

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Reference no: EM131609920

Use adjusted prices for General Dynamics (GD), Kimberly-Clark Corporation (KMB), Halliburton (HAL), and Abbott Laboratories (ABT) from December 31, 1984 to December 31, 2014 to answer the following question. You can find the prices on Yahoo Finance. Use yearly returns to answer the following. Assume risk-free rate to be 2.50%. Find yearly returns for years 1985 to 2014 (Hint: Use adjusted price on Dec 31 for 2 consecutive year to find yearly return.). Find mean annual returns. Find the variance-covariance matrix for the 4 assets using the matrix multiplication approach. Use solver for 10 (or more) different expected returns to find the weights of the 4 assets on the min-variance frontier. Draw min-variance frontier using the portfolios found in part iv. Clearly label the axis. Find the optimal portfolio by maximizing the Sharpe ratio of all feasible portfolios.

Reference no: EM131609920

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