This is question 2- you do not need to actually solve but if you could show HOW to solve each part of the problem, that would be helpful.
Here is the data:
.fficient Frontier and the CAL 25 points Consider the case of 2 risky assets with two ETFs: AGG is an iShares ETF that tracks the Bloomberg Barclays Aggregate Bond Index and VTI is the Vanguard Total U.S. Stock Market ETF. The spreadsheet provides you with monthly returns to each of these ETFs. Assume the return on the risk-free asset is 2.0% 1. [6 points] Use the spreadsheet to estimate the average monthly return, monthly standard 2 deviation, and correlation coefficient of AGG and VTI. Annualize the average monthly return by multiplying it by 12. Annualize the standard deviations by multiplying by the square root of 12 [1 point] From your answers to Step #1, compute the covariance of AGG and VTI. 2. 3. [3 points] What are the expected return and standard deviation of a portfolio composed of 50% 4. [3 points] What are the expected return and standard deviation from allocating our wealth 10% to 5. [3 points] What is the slope of theline formed by all possible combinations of the risk-free asset 6. [3 points] What portfolio (selected from all the possible combinations of AGG and VTI) forms 7. [3 points] What is the slope of the Capital Market Line (CML)? AGG and 50% VTI? Refer to this portfolio as the "(50,50) portfolio." the risk-free asset and 90% to the (50,50) portfolio in Step 43? and the (50,50) portfolio? the best possible Capital Allocation Line? The correct answer will define the portfolio according to the weights, e.g. (wi,w2) (50,50). 8. [3 points] What are the expected return and standard deviation ofa portfolio that invests-30% in the risk-free asset and the remainder of the portfolio in the optimal portfolio found in Step6 .fficient Frontier and the CAL 25 points Consider the case of 2 risky assets with two ETFs: AGG is an iShares ETF that tracks the Bloomberg Barclays Aggregate Bond Index and VTI is the Vanguard Total U.S. Stock Market ETF. The spreadsheet provides you with monthly returns to each of these ETFs. Assume the return on the risk-free asset is 2.0% 1. [6 points] Use the spreadsheet to estimate the average monthly return, monthly standard 2 deviation, and correlation coefficient of AGG and VTI. Annualize the average monthly return by multiplying it by 12. Annualize the standard deviations by multiplying by the square root of 12 [1 point] From your answers to Step #1, compute the covariance of AGG and VTI. 2. 3. [3 points] What are the expected return and standard deviation of a portfolio composed of 50% 4. [3 points] What are the expected return and standard deviation from allocating our wealth 10% to 5. [3 points] What is the slope of theline formed by all possible combinations of the risk-free asset 6. [3 points] What portfolio (selected from all the possible combinations of AGG and VTI) forms 7. [3 points] What is the slope of the Capital Market Line (CML)? AGG and 50% VTI? Refer to this portfolio as the "(50,50) portfolio." the risk-free asset and 90% to the (50,50) portfolio in Step 43? and the (50,50) portfolio? the best possible Capital Allocation Line? The correct answer will define the portfolio according to the weights, e.g. (wi,w2) (50,50). 8. [3 points] What are the expected return and standard deviation ofa portfolio that invests-30% in the risk-free asset and the remainder of the portfolio in the optimal portfolio found in Step6
