Question
Consider a portfolio with four stocks Google(GOOG), 3M(MMM), Microsoft (MSFT), and IBM(IBM). we are interested in a monthly return (Tog return between 22 business days)
Consider a portfolio with four stocks Google(GOOG), 3M(MMM), Microsoft (MSFT), and IBM(IBM). we are interested in a monthly return (Tog return between 22 business days) of the portfolio elements from 01/01/2010 to 06/30/2020.
1. Find efficient frontier
2. Suppose that risk-free rate of return rf = 0.0001 (.0.01% = 1 bp) per month (22 business days). Find the portfolio weight vector for the tangency portfolio and calculate the Shame Ratio of the tangency portfolio.
Step by Step Solution
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Step: 1
Weight Vector Google01666389 3M 06063...
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Econometric Analysis
Authors: William H. Greene
5th Edition
130661899, 978-0130661890
