Question
The 3 years of monthly returns data given is for 4 stocks reported by the Motley Fool will be excellent stocks for 2022 and beyond.
The 3 years of monthly returns data given is for 4 stocks reported by the Motley Fool will be excellent stocks for 2022 and beyond. Using the monthly data provided calculate the expected return and standard deviation result vectors for the 4 stocks using discrete returns. Then calculate covariance matrix and consequently calculate the monthly portfolio covariance, standard deviation and expected return for an equal weight portfolio. Then use portfolio optimization techniques with solver to minimize the portfolio the portfolio standard deviation at the equally weighted portfolio expected return previously calculated subject to the constraints that the portfolio weights are at least 0% of the portfolio and Σ weights=1. Use those constrains to generate the envelope portfolio using monthly data. Graph the resulting envelope and the individual stock data together.
Date | Adj Close 1 | Adj Close 2 | Adj Close 3 | Adj Close 4 |
7/1/18 | 35.18 | 131.02 | 5.95 | 46.75 |
8/1/18 | 33.46 | 134.40 | 6.12 | 47.07 |
9/1/18 | 31.25 | 145.73 | 6.09 | 48.41 |
10/1/18 | 34.33 | 144.15 | 6.18 | 44.41 |
11/1/18 | 35.61 | 145.46 | 6.93 | 45.13 |
12/1/18 | 31.38 | 139.24 | 6.62 | 51.34 |
1/1/19 | 36.99 | 131.68 | 6.86 | 53.98 |
2/1/19 | 37.43 | 136.73 | 6.94 | 54.64 |
3/1/19 | 35.17 | 142.19 | 6.19 | 57.56 |
4/1/19 | 37.29 | 134.48 | 5.89 | 57.56 |
5/1/19 | 31.92 | 139.59 | 6.10 | 64.17 |
6/1/19 | 36.89 | 127.69 | 5.60 | 63.97 |
7/1/19 | 39.04 | 133.90 | 5.72 | 62.85 |
8/1/19 | 35.89 | 154.04 | 5.82 | 64.01 |
9/1/19 | 36.27 | 162.94 | 5.57 | 69.53 |
10/1/19 | 36.32 | 169.10 | 5.71 | 73.16 |
11/1/19 | 35.19 | 158.49 | 5.22 | 72.64 |
12/1/19 | 35.78 | 180.69 | 5.50 | 71.54 |
1/1/20 | 32.99 | 181.76 | 6.17 | 73.87 |
2/1/20 | 30.13 | 195.38 | 6.08 | 78.12 |
3/1/20 | 20.53 | 196.74 | 6.18 | 73.89 |
4/1/20 | 22.29 | 184.20 | 6.63 | 68.68 |
5/1/20 | 25.88 | 193.30 | 6.89 | 68.98 |
6/1/20 | 25.30 | 204.75 | 7.07 | 69.32 |
7/1/20 | 24.89 | 193.47 | 6.99 | 73.13 |
8/1/20 | 29.63 | 182.01 | 6.27 | 68.50 |
9/1/20 | 29.59 | 158.36 | 4.89 | 63.44 |
10/1/20 | 34.53 | 175.31 | 5.85 | 69.18 |
11/1/20 | 43.84 | 196.25 | 5.76 | 74.20 |
12/1/20 | 41.64 | 187.52 | 5.83 | 76.66 |
1/1/21 | 50.68 | 196.32 | 5.84 | 95.53 |
2/1/21 | 51.33 | 220.36 | 5.83 | 95.03 |
3/1/21 | 57.46 | 217.39 | 5.33 | 93.17 |
4/1/21 | 57.22 | 218.79 | 5.70 | 87.88 |
5/1/21 | 59.31 | 244.35 | 6.46 | 87.26 |
6/1/21 | 59.17 | 265.71 | 6.35 | 86.96 |
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