1234567 The table below presents the variance - covariance matrix and the mean returns for six...
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1234567 The table below presents the variance - covariance matrix and the mean returns for six different stocks of financial institutions, based on their monthly data. A FRE WM STT JPM GS C B FRE C WM D STT E JPM F GS G C 0.0033 0.0015 0.0068 0.0010 0.0039 0.0034 0.0072 0.0063 0.0015 0.0052 0.0033 0.0120 0.0015 0.0034 0.0046 0.0039 0.0072 0.0058 0.0379 0.0073 0.0068 0.0063 0.0039 0.0073 0.0058 0.0039 0.0015 0.0023 0.0389 0.0023 0.0010 0.0015 0.0015 0.0023 0.0023 0.0018 H I Mean returns 0.24% -0.89% 0.48% 0.44% -1.46% 1.04% a. Calculate the Global Minimum Variance Portfolio (GMVP). b. Calculate the efficient portfolio, assuming the monthly risk free rate is 0.45%. c. Draw the efficient frontier with the expected return on the vertical axis, the standard deviation on the horizontal axis, and use 1234567 The table below presents the variance - covariance matrix and the mean returns for six different stocks of financial institutions, based on their monthly data. A FRE WM STT JPM GS C B FRE C WM D STT E JPM F GS G C 0.0033 0.0015 0.0068 0.0010 0.0039 0.0034 0.0072 0.0063 0.0015 0.0052 0.0033 0.0120 0.0015 0.0034 0.0046 0.0039 0.0072 0.0058 0.0379 0.0073 0.0068 0.0063 0.0039 0.0073 0.0058 0.0039 0.0015 0.0023 0.0389 0.0023 0.0010 0.0015 0.0015 0.0023 0.0023 0.0018 H I Mean returns 0.24% -0.89% 0.48% 0.44% -1.46% 1.04% a. Calculate the Global Minimum Variance Portfolio (GMVP). b. Calculate the efficient portfolio, assuming the monthly risk free rate is 0.45%. c. Draw the efficient frontier with the expected return on the vertical axis, the standard deviation on the horizontal axis, and use
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Related Book For
The Essentials Of Statistics A Tool For Social Research
ISBN: 9781111829568
3rd Edition
Authors: Joseph F. Healey
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