Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Solve the problem in the attached document below PORTFOLIO OPTIMIZATION ASSIGNMENT Data: Monthly returns data from Yahoo Finance, using Adjusted Close prices Start Date January
Solve the problem in the attached document below
PORTFOLIO OPTIMIZATION ASSIGNMENT Data: Monthly returns data from Yahoo Finance, using Adjusted Close prices Start Date January 1, 2012 End Date: January 4, 2016 (49 observations of stock price; 48 calculations of monthly stock returns) http://finance.yahoo.com/quote/GM/history?p GM Stock Portfolio GM General Motors C Citigroup, Inc WMT Wal-Mart PFE Pfizer GE General Electric MS Morgan Stanley PEP Pepsico Optimization Minimize portfolio risk Subject to a minimum return level Assignment Solve the model for a return floor of 0.012. What is the optimal risk? Which stock accounts for the largest portion of the optimal portfolio? a. b. Construct a table that varies the portfolio return and shows the corresponding optimal risk as well as the seven optimal proportions in the portfolio. Construct a graph of the efficient frontier, with portfolio return shown on the horizontal axis. Maximize the expected return for a risk ceiling of 0.0016. What is the optimal return? Which stock accounts for the largest portion of the optimal portfolio? c. d. Construct a table that varies the portfolio variance and shows the corresponding optimal return as well as the seven optimal proportions in the portfolio. Construct a graph of the efficient frontier, with portfolio risk shown on the horizontal axis PORTFOLIO OPTIMIZATION ASSIGNMENT Data: Monthly returns data from Yahoo Finance, using Adjusted Close prices Start Date January 1, 2012 End Date: January 4, 2016 (49 observations of stock price; 48 calculations of monthly stock returns) http://finance.yahoo.com/quote/GM/history?p GM Stock Portfolio GM General Motors C Citigroup, Inc WMT Wal-Mart PFE Pfizer GE General Electric MS Morgan Stanley PEP Pepsico Optimization Minimize portfolio risk Subject to a minimum return level Assignment Solve the model for a return floor of 0.012. What is the optimal risk? Which stock accounts for the largest portion of the optimal portfolio? a. b. Construct a table that varies the portfolio return and shows the corresponding optimal risk as well as the seven optimal proportions in the portfolio. Construct a graph of the efficient frontier, with portfolio return shown on the horizontal axis. Maximize the expected return for a risk ceiling of 0.0016. What is the optimal return? Which stock accounts for the largest portion of the optimal portfolio? c. d. Construct a table that varies the portfolio variance and shows the corresponding optimal return as well as the seven optimal proportions in the portfolio. Construct a graph of the efficient frontier, with portfolio risk shown on the horizontal axisStep 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