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3. Use the Variance - Covariance matrix in the Excel file: Efficient Portfolios Data. Construct a model to determine the following: a. C. Calculate an
3. Use the Variance - Covariance matrix in the Excel file: Efficient Portfolios Data. Construct a model to determine the following: a. C. Calculate an envelope portfolio assuming the risk-free rate is 3%. b. Calculate an envelope portfolio assuming the risk-free rate is 20%. 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. A B C D E F G H I J 1 Efficient Portfolios Data 2 3 Variance-Covariance Matrix 4 5 6 Stock 0.0006 0.0017 0.0019 7 8 Stock A 0.0012 -0.0002 0.0007 0.0001 0.0005 0.0011 0.0006 Stock A Stock B Stock C Stock D Stock E Stock F Stock G Stock B -0.0002 0.0271 0.0027 0.0063 0.0010 -0.0001 0.0017 Stock C 0.0007 0.0027 0.0101 0.0043 0.0023 0.0020 0.0019 Stock D 0.0001 0.0063 0.0043 0.0085 0.0019 0.0026 Stock E 0.0005 0.0010 0.0023 0.0019 0.0050 0.0018 0.0012 Stock F 0.0011 -0.0001 0.0020 0.0026 0.0018 0.0070 0.0022 Means 0.0144 0.0548 0.0320 0.0386 0.0249 0.0178 0.0142 9 10 11 0.0013 0.0012 0.0022 0.0014 0.0013 12 13 3. Use the Variance - Covariance matrix in the Excel file: Efficient Portfolios Data. Construct a model to determine the following: a. C. Calculate an envelope portfolio assuming the risk-free rate is 3%. b. Calculate an envelope portfolio assuming the risk-free rate is 20%. 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. A B C D E F G H I J 1 Efficient Portfolios Data 2 3 Variance-Covariance Matrix 4 5 6 Stock 0.0006 0.0017 0.0019 7 8 Stock A 0.0012 -0.0002 0.0007 0.0001 0.0005 0.0011 0.0006 Stock A Stock B Stock C Stock D Stock E Stock F Stock G Stock B -0.0002 0.0271 0.0027 0.0063 0.0010 -0.0001 0.0017 Stock C 0.0007 0.0027 0.0101 0.0043 0.0023 0.0020 0.0019 Stock D 0.0001 0.0063 0.0043 0.0085 0.0019 0.0026 Stock E 0.0005 0.0010 0.0023 0.0019 0.0050 0.0018 0.0012 Stock F 0.0011 -0.0001 0.0020 0.0026 0.0018 0.0070 0.0022 Means 0.0144 0.0548 0.0320 0.0386 0.0249 0.0178 0.0142 9 10 11 0.0013 0.0012 0.0022 0.0014 0.0013 12 13
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