Tangency Portfolio by Homework Help Classof1

Tangency Portfolio

byHomework Help Classof1

Kobo ebook | March 11, 2013

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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   =  .

Title:Tangency PortfolioFormat:Kobo ebookPublished:March 11, 2013Publisher:Classof1Language:English

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