Only Q3 with answer on Excel sheet.
igecunil
portfoliosS.xlsxSheet1
| Risk and return with three assets | ||||||||
| Asset Data | Exp Ret | Std Dev | ||||||
| Tbills | 0.60% | 4.30% | ||||||
| Bonds | 2.10% | 10.10% | ||||||
| Shares | 9.00% | 20.80% | ||||||
| VCV Matrix | Tbills | Bons | Shares | Portfolio weights | ||||
| Tbills | 0.0018 | 0.0027 | 0.0008 | Tbills | 40% | |||
| Bonds | 0.0027 | 0.0102 | 0.0048 | Bonds | 50% | |||
| Shares | 0.0008 | 0.0048 | 0.0433 | Shares | 10% | |||
| Exp Ret | ||||||||
| Std Dev | ||||||||
| Variance |
Sheet2
| Risk and return with three assets | ||||||||
| Asset Data | Exp Ret | Std Dev | ||||||
| Tbills | 0.60% | 4.30% | Targe exp return | 7.00% | ||||
| Bonds | 2.10% | 10.10% | ||||||
| Shares | 9.00% | 20.80% | ||||||
| VCV Matrix | Tbills | Bons | Shares | Portfolio weights | ||||
| Tbills | 0.0018 | 0.0027 | 0.0008 | Tbills | ||||
| Bonds | 0.0027 | 0.0102 | 0.0048 | Bonds | ||||
| Shares | 0.0008 | 0.0048 | 0.0433 | Shares | ||||
| Exp Ret | ||||||||
| Std Dev | ||||||||
| Variance |
Sheet3
| Generic Portfolio Problems | |||||||||
| Risk-free asset and one risky asset | |||||||||
| Asset Data | Exp Ret | Std Dev | Risk aversion coefficient (A) | 3 | |||||
| Asset 0 | 1.00% | 0 | |||||||
| Asset 1 | 2.10% | 0.101 | |||||||
| VCV Matrix | Asset 0 | Asset 1 | Optimal portfolio | Benefit | |||||
| Asset 0 | 0 | 0 | |||||||
| Asset 1 | 0 | 0.0102 | Weights | ||||||
| Asset 0 | Return | 1.00% | |||||||
| Asset 1 | Std dev | 0 |
