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Weights 0.25 0.25 0.25 0.25 Month GRMN GE ROKU WMT 25/25/25/25Portfolio 2/1/18 -5.879% -12.740% 0.369% -15.563% -8.45% 3/1/18 -0.523% -3.674% -23.718% -1.155% -7.27% 4/1/18 1.242%
| Weights | 0.25 | 0.25 | 0.25 | 0.25 | |
| Month | GRMN | GE | ROKU | WMT | 25/25/25/25Portfolio |
| 2/1/18 | -5.879% | -12.740% | 0.369% | -15.563% | -8.45% |
| 3/1/18 | -0.523% | -3.674% | -23.718% | -1.155% | -7.27% |
| 4/1/18 | 1.242% | 4.377% | 4.630% | 0.020% | 2.57% |
| 5/1/18 | 2.420% | 0.071% | 15.120% | -6.692% | 2.73% |
| 6/1/18 | 1.514% | -3.338% | 13.775% | 4.422% | 4.09% |
| 7/1/18 | 3.261% | 1.036% | 6.570% | 4.180% | 3.76% |
| 8/1/18 | 9.111% | -5.062% | 30.978% | 7.430% | 10.61% |
| 9/1/18 | 2.803% | -12.751% | 22.760% | -1.465% | 2.84% |
| 10/1/18 | -4.816% | -9.688% | -23.867% | 6.783% | -7.90% |
| 11/1/18 | 0.756% | -25.743% | -26.709% | -2.623% | -13.58% |
| 12/1/18 | -5.011% | 0.933% | -24.810% | -4.608% | -8.37% |
| 1/1/19 | 10.135% | 34.399% | 46.704% | 3.438% | 23.67% |
| 2/1/19 | 21.379% | 6.354% | 47.475% | 3.297% | 19.63% |
| 3/1/19 | 2.834% | -3.850% | -2.685% | -1.475% | -1.29% |
| 4/1/19 | -0.076% | 1.910% | -1.426% | 6.012% | 1.60% |
| 5/1/19 | -10.800% | -7.178% | 42.161% | -1.361% | 5.71% |
| 6/1/19 | 4.341% | 11.229% | 0.199% | 9.500% | 6.32% |
| 7/1/19 | -0.814% | -0.380% | 14.076% | -0.100% | 3.20% |
| 8/1/19 | 3.792% | -21.053% | 46.482% | 3.515% | 8.18% |
| 9/1/19 | 3.825% | 8.364% | -32.770% | 4.380% | -4.05% |
| 10/1/19 | 11.441% | 11.754% | 44.654% | -1.196% | 16.66% |
| 11/1/19 | 4.203% | 12.926% | 8.947% | 1.561% | 6.91% |
- Create six random portfolios. Pick any combinations of weights (they must sum to 1). Calculate average return and standard deviation for the portfolios using matrices. Place the portfolios on a graph with the standard deviation as an X axis and the average return as a Y axis. Place on the same graph also individual assets. Label the axes. Display the legend.
- Create five efficient portfolios as follows. The first portfolio will be the minimum variance portfolio. The second portfolio will have standard deviation 3% higher than the minimum variance portfolio. Each following portfolio will have standard deviation 3% higher than the previous one. For example, if the min. var. portfolio has a standard deviation of 4.0%, the next four portfolios will have standard deviations of 7%, 10%, 13%, 16%. Notice that you will have to maximize the average return to get efficient portfolios-Here we have target standard deviation and need to maximize average return-. Constraint weights to be positive.
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
