Question
Returns of Stocks X and Y X Y Average Return 19.00% 13.00% Variance 0.09 0.04 Standard Deviation 30% 20% Covarience 0.01 Risk-free return 3.00% 1)
Returns of Stocks X and Y | ||
X | Y | |
Average Return | 19.00% | 13.00% |
Variance | 0.09 | 0.04 |
Standard Deviation | 30% | 20% |
Covarience | 0.01 | |
Risk-free return | 3.00% |
1) What is the return and standard deviation of the minimum variance portfolio for X and Y?
2) What are the weights of the minimum variance portfolio?
3) What is the return and standard deviation of a portfolio composed of 30% in the minimum variance portfolio and 70% in the risk free asset?
4) What are the weights of a portfolio composed of the minimum variance portfolio and the risk-free asset that has a return of 9%??
5b) What are the weights of a portfolio composed of the minimum variance portfolio and the risk-free asset that has a standard deviation of 5%
6a) What is the Sharpe ratio of the minimum variance portfolio?
6b) What is the Sharpe ratio of the tanget portfolio?
Please help me solve these using excel. Thank You!
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started