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If your aim is to invest across these two securities please let me know how much (in percentage) would you invest in each security if
If your aim is to invest across these two securities please let me know how much (in percentage) would you invest in each security if
a. the objective is risk minimization
b. maximize expected returns
c. maximize Sharpe-ratio
Please report expected returns and standard deviation on each case.
Assume t-bill rate = 2%.
Date | Sp500 | GE |
2015/4/1 | 29.762444 | 26.038462 |
2015/5/1 | 31.052801 | 26.221153 |
2015/6/1 | 30.173864 | 25.548077 |
2015/7/1 | 32.092327 | 25.096153 |
2015/8/1 | 30.763779 | 25.01 |
2015/9/1 | 29.727325 | 24.25 |
2015/10/1 | 32.101738 | 27.807692 |
2015/11/1 | 33.128773 | 28.788462 |
2015/12/1 | 33.175884 | 29.951923 |
2016/1/1 | 32.115871 | 27.98077 |
2016/2/1 | 31.326052 | 28.01923 |
2016/3/1 | 31.811359 | 30.567308 |
2016/4/1 | 30.859779 | 29.567308 |
2016/5/1 | 32.877129 | 29.067308 |
2016/6/1 | 32.125381 | 30.26923 |
2016/7/1 | 33.89555 | 29.942308 |
2016/8/1 | 34.126007 | 30.038462 |
2016/9/1 | 34.126007 | 28.48077 |
2016/10/1 | 34.27964 | 27.98077 |
2016/11/1 | 35.60474 | 29.576923 |
2016/12/1 | 35.969612 | 30.384615 |
2017/1/1 | 35.768921 | 28.557692 |
2017/2/1 | 37.966961 | 28.663462 |
2017/3/1 | 38.102524 | 28.653847 |
2017/4/1 | 39.458134 | 27.875 |
2017/5/1 | 39.574329 | 26.326923 |
2017/6/1 | 37.957275 | 25.971153 |
2017/7/1 | 37.499317 | 24.625 |
2017/8/1 | 37.635826 | 23.60577 |
2017/9/1 | 38.347591 | 23.25 |
2017/10/1 | 40.541389 | 19.384615 |
2017/11/1 | 41.828419 | 17.586538 |
2017/12/1 | 40.86314 | 16.778847 |
2018/1/1 | 42.588585 | 15.548077 |
2018/2/1 | 42.824474 | 13.567307 |
2018/3/1 | 41.880901 | 12.961538 |
2018/4/1 | 41.910389 | 13.528846 |
2018/5/1 | 43.276604 | 13.538462 |
2018/6/1 | 43.817196 | 13.086538 |
2018/7/1 | 45.279221 | 13.105769 |
2018/8/1 | 46.892799 | 12.442307 |
2018/9/1 | 46.635418 | 10.855769 |
2018/10/1 | 44.279392 | 9.711538 |
2018/11/1 | 45.526703 | 7.211538 |
2018/12/1 | 42.131256 | 7.278846 |
2019/1/1 | 44.279999 | 9.769231 |
2019/2/1 | 45.73 | 10.39 |
2019/3/1 | 47.060001 | 10.1 |
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