Write an r program to find the efficient frontier

Assignment Help Mathematics

Reference no: EM131064800

Write an R program to find the efficient frontier, the tangencyportfolio, and the minimum variance portfolio, and plot on "reward-riskspace" the location of each of the six stocks, the efficient frontier, the tangencyportfolio, and the line of efficient portfolios. Use the constraints that-0.1 = wj = 0.5 for each stock. The first constraint limits short sales butdoes not rule them out completely. The second constraint prohibits more than50% of the investment in any single stock. Assume that the annual risk-freerate is 3% and convert this to a daily rate by dividing by 365, since interestis earned on trading as well as nontrading days.

Reference no: EM131064800

Questions Cloud

The pretax or the aftertax cost of debt : In-The-Dell Farm issued a 30-year, 8 percent semiannual bond 7 years ago. The bond currently sells for 108 percent of its face value. The company’s tax rate is 35 percent. What is the pretax cost of debt? What is the aftertax cost of debt? Which is m..

How can neh respond to meet the needs of these groups : What should NEH do? Would you recommend developing new programs? Or, should existing programs be expanded to meet the increased demand? Provide the rationale for what you propose?

Which of the following schools of thought came under attack : The painter who may be said to have inaugurated Renaissance art through his creation of new formal conventions was.

Solve transportation problem by north west corner method : Using Vogel's Approximation method, solve the following transportation problem : Factory Distributors D1 D2 D3 D4 Availability 01 21 16 25 13 11 02 17 18 14 23 13 03 32 27 18 41 19 Requirement 6 10 12 15 Also solve the above Transportation Problem..

Write an r program to find the efficient frontier : Write an R program to find the efficient frontier, the tangencyportfolio, and the minimum variance portfolio, and plot on "reward-riskspace" the location of each of the six stocks, the efficient frontier

Information for organizations and governments to measure : Surveys provide valuable information for organizations and governments to measure their performance, monitor strategies and policy decisions, and inform decisions. The value of this information is measured against the cost to collect the data and ..

What types of different accounting journals would you expect : JB Hi-Fi limited is one of Australia's major home entertainment retail organizations. After reviewing the finical report, what types of different accounting journals would you expect the company to use?

Log values for the three sets of data against time : (a) Graph the three sets of data against time. (b) Graph the log values for the three sets of data against time.

What happens when a process is finished using the database : what happens when a process is finished using the database?

User Account

All Pages