You are given the following information: Use the Variance Covariance matrix in the Excel file: Efficient
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Question:
You are given the following information: Use the Variance – Covariance matrix in the Excel file: Efficient Portfolios Data. Construct a model to determine the following:
a. Calculate an envelope portfolio assuming the risk-free rate is 3%?.
b. Calculate an envelope portfolio assuming the risk-free rate is 12%?.
c. Create a one-way data table that determines the different means and standard deviations for combinations of Envelope Portfolio 1 and Envelope Portfolio 2 by varying the proportion of Portfolio 1 from -5 to +5 in increments of 0.50.?
Efficient Portfolios Data | |||||||
Variance - Covariance Matrix | |||||||
A | B | C | D | E | Means | ||
A | 0.0030 | 0.0003 | -0.0001 | -0.0004 | -0.0007 | 1.7000% | |
B | 0.0003 | 0.0350 | 0.0021 | 0.0050 | 0.0023 | 1.7300% | |
C | -0.0001 | 0.0021 | 0.0160 | 0.0023 | 0.0029 | 4.0100% | |
D | -0.0004 | 0.0050 | 0.0023 | 0.0077 | 0.0022 | 1.9600% | |
E | -0.0007 | 0.0023 | 0.0029 | 0.0022 | 0.0090 | 0.1200% |
Related Book For
Income Tax Fundamentals 2019
ISBN: 9781337703062
37th edition
Authors: Gerald E. Whittenburg, Steven Gill
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