Question
Month Asset A returns Asset B returns Asset C returns 1 -4.0% 11.0% 15.5% 2 1.5% 6.0% 14.5% 3 -1.5% -7.0% -9.5% 4 7.0% 7.5%
Month | Asset A returns | Asset B returns | Asset C returns |
1 | -4.0% | 11.0% | 15.5% |
2 | 1.5% | 6.0% | 14.5% |
3 | -1.5% | -7.0% | -9.5% |
4 | 7.0% | 7.5% | 12.5% |
5 | 2.0% | -3.5% | 22.5% |
6 | 6.5% | -6.5% | -11.0% |
7 | -2.5% | 13.5% | 19.0% |
8 | 3.5% | 9.0% | 20.0% |
9 | 4.5% | 9.0% | -24.0% |
10 | 1.5% | 11.5% | 13.0% |
11 | -4.5% | -4.5% | 17.0% |
12 | 5.0% | -2.5% | -15.5% |
1) In Excel, calculate the expected standard deviation of a portfolio consisting of 25% asset A, 50% asset B, and 25% asset C. (DO NOT Use of the Excel stdev or related function )
2) Given a risk free rate of 3.5% and a market portfolio with a return of 9% and s of 15%, what combination of assets would a risk averse investor hold if he wanted to maximize returns but have no more than 8% volatility?
3) Given a risk free rate of 3% and a market portfolio with a return of 8% and s of 13%, what combination of assets would a less risk averse investor hold if she wanted to maximize returns but have no more than 15% volatility?
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