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Assume that you can tolerate a 4.5% standard deviation risk per month. Find the mean-variance efficient portfolio that can tolerate such risk and provide the
Assume that you can tolerate a 4.5% standard deviation risk per month. Find the mean-variance efficient portfolio that can tolerate such risk and provide the weights of each individual ticker:
WMT: BLK: PG: JNJ: GLD:
\begin{tabular}{|c|c|c|c|c|c|c|c|} \hline 2 & A & B & C & D & E & F & G \\ \hline 1 & & & WMT & BLK & PG & JNJ & GLD \\ \hline 2 & & MEAN & 0.0130 & 0.0117 & 0.0098 & 0.0061 & 0.0058 \\ \hline 3 & & STD & 0.0538 & 0.0751 & 0.0493 & 0.0485 & 0.0394 \\ \hline \multicolumn{8}{|l|}{4} \\ \hline \multicolumn{8}{|l|}{5} \\ \hline 6 & & & & & & & \\ \hline 7 & & \multirow[t]{2}{*}{x} & ? & ? & ? & ? & ? \\ \hline 8 & & & \multicolumn{4}{|c|}{ Covariance Matrix Matrix } & \\ \hline 9 & WMT & ? & 0.002889 & 0.001649 & 0.001231 & 0.001227 & 0.000386 \\ \hline 10 & BLK & ? & 0.001649 & 0.005634 & 0.001025 & 0.001583 & 0.000333 \\ \hline 11 & PG & ? & 0.001231 & 0.001025 & 0.002432 & 0.001180 & 0.000729 \\ \hline 12 & JNJ & ? & 0.001227 & 0.001583 & 0.001180 & 0.002352 & 0.000306 \\ \hline 13 & GOLD & ? & 0.000386 & 0.000333 & 0.000729 & 0.000306 & 0.001556 \\ \hline \end{tabular} \begin{tabular}{|c|c|c|c|c|c|c|c|} \hline 2 & A & B & C & D & E & F & G \\ \hline 1 & & & WMT & BLK & PG & JNJ & GLD \\ \hline 2 & & MEAN & 0.0130 & 0.0117 & 0.0098 & 0.0061 & 0.0058 \\ \hline 3 & & STD & 0.0538 & 0.0751 & 0.0493 & 0.0485 & 0.0394 \\ \hline \multicolumn{8}{|l|}{4} \\ \hline \multicolumn{8}{|l|}{5} \\ \hline 6 & & & & & & & \\ \hline 7 & & \multirow[t]{2}{*}{x} & ? & ? & ? & ? & ? \\ \hline 8 & & & \multicolumn{4}{|c|}{ Covariance Matrix Matrix } & \\ \hline 9 & WMT & ? & 0.002889 & 0.001649 & 0.001231 & 0.001227 & 0.000386 \\ \hline 10 & BLK & ? & 0.001649 & 0.005634 & 0.001025 & 0.001583 & 0.000333 \\ \hline 11 & PG & ? & 0.001231 & 0.001025 & 0.002432 & 0.001180 & 0.000729 \\ \hline 12 & JNJ & ? & 0.001227 & 0.001583 & 0.001180 & 0.002352 & 0.000306 \\ \hline 13 & GOLD & ? & 0.000386 & 0.000333 & 0.000729 & 0.000306 & 0.001556 \\ \hline \end{tabular}Step by Step Solution
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