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Complete the questions using R Script. This is all the information given Using the historical data provided, find the mean and standard deviation of the
Complete the questions using R Script. This is all the information given
- Using the historical data provided, find the mean and standard deviation of the returns of the risky asset
- Create a function that calculates the best possible asset allocation between the risky and riskless assets
- Using this function, find the best possible asset allocation between the risky asset from Step 1 and a riskless asset with a return of 3.5% for an investor with a coefficient of risk aversion of 3.8.
year | yearly.return |
1 | 0.0441677 |
2 | -0.1226099 |
3 | 0.04845585 |
4 | 0.13300576 |
5 | 0.07610883 |
6 | -0.1006195 |
7 | 0.15361525 |
8 | 0.11240244 |
9 | 0.06454932 |
10 | 0.1013993 |
11 | 0.1048939 |
12 | -0.0454068 |
13 | 0.06817743 |
14 | 0.17458466 |
15 | 0.10985191 |
16 | -0.0542494 |
17 | 0.09745474 |
18 | 0.11899063 |
19 | -0.0124672 |
20 | 0.13086449 |
21 | -0.0596302 |
22 | 0.02645831 |
23 | 0.07517141 |
24 | -0.0051806 |
25 | 0.15126484 |
26 | -0.0965493 |
27 | 0.22703194 |
28 | 0.16026128 |
29 | 0.06934095 |
30 | 0.00392107 |
31 | -0.0110056 |
32 | 0.1703484 |
33 | 0.07916124 |
34 | 0.11850884 |
35 | 0.08660435 |
36 | -0.0051788 |
37 | 0.1397996 |
38 | 0.15836418 |
39 | -0.0351296 |
40 | 0.18013566 |
41 | 0.24812023 |
42 | 0.04800945 |
43 | 0.17955221 |
44 | 0.08722588 |
45 | 0.08693944 |
46 | 0.05114366 |
47 | 0.14463659 |
48 | -0.0043474 |
49 | 0.02722667 |
50 | 0.0749192 |
51 | 0.07879394 |
52 | -0.004076 |
53 | -0.0025389 |
54 | 0.25534582 |
55 | 0.03749105 |
56 | 0.16274938 |
57 | -0.0288327 |
58 | 0.11954991 |
59 | 0.03668721 |
60 | 0.18735517 |
61 | 0.03911828 |
62 | 0.1135662 |
63 | 0.20747982 |
64 | 0.01086152 |
65 | -0.0039231 |
66 | -0.0778498 |
67 | -0.0479318 |
68 | -0.0303942 |
69 | 0.0572853 |
70 | 0.02323396 |
71 | -0.0497979 |
72 | 0.00192938 |
73 | -0.0078804 |
74 | 0.13220173 |
75 | 0.02292378 |
76 | -0.0230302 |
77 | 0.16758643 |
78 | 0.13503774 |
79 | -0.0565015 |
80 | 0.15430047 |
81 | -0.1594624 |
82 | 0.04681331 |
83 | 0.1466907 |
84 | 0.08209898 |
85 | 0.05260889 |
86 | 0.04322869 |
87 | -0.0128389 |
88 | 0.0346096 |
89 | 0.05376601 |
90 | 0.13616144 |
91 | -0.1040444 |
92 | 0.14694161 |
93 | -0.0416876 |
94 | 0.11892658 |
95 | 0.10375179 |
96 | -0.0137491 |
97 | 0.10064254 |
98 | 0.08385408 |
99 | -0.0942224 |
100 | 0.0341587 |
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