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( 4 ) Use the file hw 2 . xls for this question. The file contains the expected excess returns E ( r ) -
Use the file hwxls for this question. The file contains the expected excess
returns for four stocks. The stocks are Wal Mart, Altria MO
AnheuserBusch BUD and Malibu Boats MBUU In addition, the file
contains the estimated variances and covariances of these four stock returns
for the last months.
a Find the minimum variance possible for a portfolio constructed using
these four stocks. What is the smallest variance?
b Repeat part a with no shorting allowed. What is the minimum variance
now?
c Find the tangency portfolio Sharpe Ratio with shorting allowed.
d Repeat part c with no shorting allowed. What is the maximum Sharpe
ratio now?
e Use the included range of Risk Premia to find the efficient frontier by
filling in cells A to A Graph this efficient frontier in Excel, and make
the title of the graph state your name. Print the graph in a separate sheet
and include with your homework.
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