Dear Tutor,

hopefully, you are doing well.

I am really struggling with the following assignment (homework), and I have no idea where and how to start it.

Please see assignment below.

" In this problem, you goal is to assess the extent to which market conditions changed as a result of theCovid-19 pandemic. The fileAssignment3-Data.xlscontains monthly returns for two assets (Tesla and Bitcoin) from February 2015 to December 2020.

(a) Split the data into two subsamples: (i) February 2015 to December 2019 as a proxy for the pre-Covid era and (ii) January 2020 to December 2020 to approximate the post-Covid era. Calculate the pre-and post-Covid average return and pre- and post-Covid standard deviation of the returns of Tesla and Bitcoin.

(b) Calculate the pre- and post-Covid correlations between the returns of Tesla and Bitcoin. What do you conclude?

With the answers in parts (a) and (b) in hand, next construct portfolios consisting of Tesla and Bitcoin with weights on Tesla ranging from 0% to 100% in increments of 5%. You should get 21 pre-Covid portfolios and 21 post-Covid portfolios.

(c) Calculate the expected returns and standard deviations of the resulting pre- and post-Covid portfolios, and in each case find the portfolio that has the minimum standard deviation. What are the mean and the standard deviations of these two portfolios? What do you conclude?

(d) What are the maximum Sharpe ratios you could get before and after Covid? Recall that theSharpe ratio of a portfolio is equal to its expected return divided by its standard deviation.

(e) What happened to diversification in the post-Covid period?

The relevant data is accessible here: https://www.coursehero.com/u/file/109959448/Assingment-3-Dataxlsx/#question

All help would be much appreciated.

Best regards,

Leo