Question: Question 5 Consider the following data on the S&P 500, FTSE and Nikkei indices: s S&P 500 0.1 0.16 FTSE 0.08 0.09 Nikkei 0.05 0.05

Question 5

Consider the following data on the S&P 500, FTSE and Nikkei indices:

		s
S&P 500	0.1	0.16
FTSE	0.08	0.09
Nikkei	0.05	0.05
Risk Free asset	0.02

The correlation matrix is given by:

	S&P 500	FTSE	Nikkei
S&P 500	1
FTSE	0.6	1
Nikkei	0.4	0.5	1

1. Construct the Minimum Variance Efficient (MVE) portfolio, consisting of these three indexes and report the weights of each of these three indexes in the MVE pf. If you used Solver, please explain how you set it up.

2. What are the mean and standard deviation of the MVE portfolio?

3. Find the portfolio with the maximum sharpe ratio .Question 5 Consider the following data on the S&P 500, FTSE and Nikkei indices: s S&P 500 0.1 0.16 FTSE 0.08 0.09 Nikkei 0.05 0.05 Risk Free asset 0.02 The correlation matrix is given by: S&P 500 FTSE Nikkei S&P 500 1 FTSE 0.6 1 Nikkei 0.4 0.5 1 1. Construct the Minimum Variance Efficient (MVE) portfolio, consisting of these three indexes and report the weights of each of these three indexes in the MVE pf. If you used Solver, please explain how you set it up. 2. What are the mean and standard deviation of the MVE portfolio? 3. Find the portfolio with the maximum sharpe ratio .

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