Question
The average 30-day Treasury bill rate from Jan 2016 to Feb 2017 was 0.4%. Given a two asset portfolio find the optimal weights for the
The average 30-day Treasury bill rate from Jan 2016 to Feb 2017 was 0.4%. Given a two asset portfolio find the optimal weights for the highest sharp ratio. Use excel solver.
BAC Weight: 0.740739366
MSFT Weight: 0.259261234
Sharpe Ratio: -0.159643667
Portfolio STD: 0.016202941
Portfolio return: 0.001413303
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Cost Accounting A Managerial Emphasis
Authors: Srikant M. Datar, Madhav V. Rajan, Charles T. Horngren, Louis Beaubien, Chris Graham
7th Canadian Edition
133138445, 978-0133926330, 133926338, 978-0133138443
