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Assume that the yearly risk free rate is 2% (A monthly risk free rate of 0.001652). Plot the minimum variance frontier for an investor who
Assume that the yearly risk free rate is 2% (A monthly risk free rate of 0.001652). Plot the minimum variance frontier for an investor who wants to allocate his money to PG, BAC, and the risk-free asset. Find the optimal risky portfolio. What are the mean and s.d. of the returns of this portfolio? Expected Monthly Return PG Microsoft BAC Exxon Expected Monthly Return 0.010848 0.014854 0.011589 0.012043 Variance PG Microsoft BAC Exxon Variance 0.004478 0.012820 0.005611 0.002820 Sigma 0.066918113 0.113225298 0.074907547 0.053101828 Covariance Cov(PG, Microsoft) Cov(PG, BAC) Cov(PG, Exxon) Cov(Microsoft, BAC) Cov(Microsoft, Exxon) Cov(BAC, Exxon) -0.000649 0.000683 0.000433 0.001681 0.000804 0.000757 Assume that the yearly risk free rate is 2% (A monthly risk free rate of 0.001652). Plot the minimum variance frontier for an investor who wants to allocate his money to PG, BAC, and the risk-free asset. Find the optimal risky portfolio. What are the mean and s.d. of the returns of this portfolio? Expected Monthly Return PG Microsoft BAC Exxon Expected Monthly Return 0.010848 0.014854 0.011589 0.012043 Variance PG Microsoft BAC Exxon Variance 0.004478 0.012820 0.005611 0.002820 Sigma 0.066918113 0.113225298 0.074907547 0.053101828 Covariance Cov(PG, Microsoft) Cov(PG, BAC) Cov(PG, Exxon) Cov(Microsoft, BAC) Cov(Microsoft, Exxon) Cov(BAC, Exxon) -0.000649 0.000683 0.000433 0.001681 0.000804 0.000757
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