The expected annual returns of the four assets are as listed on the project powerpoint: VTI: 7.5%
Question:
The expected annual returns of the four assets are as listed on the project powerpoint: VTI: 7.5% VWO: 9.0% VEU: 7.5% VCIT: 3.1%
Get the daily adjusted closing prices for all securities for Jan 1 2017 - Jan 1 2020, and use that data to construct returns, covariance matrix, and covariance contribution matrix. Use the following questions to help guide the further building of your spreadsheet.
7. What is the daily variance of the risky portfolio that has 25% weight in each of VTI, VWO, VCIT, and VEU? (6 decimal places)
8. What is the annual expected return of the risky portfolio that has 25% weight in each of VTI, VWO, VCIT, and VEU? (2 decimal places in %)
9. What is the daily volatility of the risky portfolio that has 50% weight in VTI and 50% weight in VWO, and 0% weight in the other two assets? (2 decimal place, in %)
10. Use solver to find the weights for VTI, VWO, VCIT, and VEU that give risky portfolio with the minimum volatility. What is the weight of VCIT in the minimum variance portfolio? (%, rounded to 1 decimal place)
Expert Answer:
Intermediate Accounting
ISBN: 978-0324300987
10th Edition
Authors: Loren A Nikolai, D. Bazley and Jefferson P. Jones
