Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Suppose that there are four stocks, LOON, UFO, SOP, and GLD, traded on the stock market. You want to find the market portfolio using Excel
Suppose that there are four stocks, LOON, UFO, SOP, and GLD, traded on the stock market. You want to find the market portfolio using Excel Solver. Note: Cells B2 to B6 represent the weights of the four stocks. Cell B6 calculates the total weight of the four stocks in the portfolio (=SUM(B2:B6)). Cells B7, B8, and B9 calculate the expected return, standard deviation, and Sharpe Ratio of the portfolio, respectively. 1 1 A Security LOON UFO 2 3 B Market Portfolio 22.21 11.57% 18.11% 48.10% 4 4 5 6 SOP GLD Sum Weights Expected Retum Standard Deviation Sharpe Ratio 7 7 100% 9.28% 6.53% 0.3615 8. 9 What is the objective you should set in the Solver window to find the market portfolio? To maximize the expected return of the portfolio (Max $B$7) To maximize the Sharpe Ratio of the portfolio (Max $B$9) To maximize the standard deviation of the portfolio (Max $B$8) To minimize the standard deviation of the portfolio (Min $B$8)
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