Tangency Portfolio

Business & Finance, Finance & Investing, Finance
Cover of the book Tangency Portfolio by Homework Help Classof1, Classof1
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Author: Homework Help Classof1 ISBN: 1230000114311
Publisher: Classof1 Publication: March 11, 2013
Imprint: Language: English
Author: Homework Help Classof1
ISBN: 1230000114311
Publisher: Classof1
Publication: March 11, 2013
Imprint:
Language: English

"Tangency Portfolio Problem. From finance.yahoo.com collect 10 years of monthly returns for four stocks. Sample of 10 years of monthly data should be a pretty reasonable estimate of expected returns, variances, and covariances.
Using this data, compute the tangency portfolio. You have to report
i. Weights of the individual stocks in the tangency portfolio;
ii. Expected returns and volatilities of the individual stocks;
iii. Variance-covariance matrix;
iv. Expected return and volatility of the tangency portfolio;
v. Sharpe ratio of the tangency portfolio;
Hint: using vector formulation, it is very easy to compute portfolio’s variance! If   is the N   1 vector of portfolio weights and   is the N   N variance-co variance matrix, then the portfolio variance is   =   and portfolio volatility is   =  .
"

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"Tangency Portfolio Problem. From finance.yahoo.com collect 10 years of monthly returns for four stocks. Sample of 10 years of monthly data should be a pretty reasonable estimate of expected returns, variances, and covariances.
Using this data, compute the tangency portfolio. You have to report
i. Weights of the individual stocks in the tangency portfolio;
ii. Expected returns and volatilities of the individual stocks;
iii. Variance-covariance matrix;
iv. Expected return and volatility of the tangency portfolio;
v. Sharpe ratio of the tangency portfolio;
Hint: using vector formulation, it is very easy to compute portfolio’s variance! If   is the N   1 vector of portfolio weights and   is the N   N variance-co variance matrix, then the portfolio variance is   =   and portfolio volatility is   =  .
"

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