Data Collection & Analysis
November 4, 2018
Probabilty
November 4, 2018

Portfolio optimization

1. Go to http://finance.yahoo.com/ and download data from January 3, 2005 to January 3, 2012
for the monthly adjusted closing price for Wal-Mart (WMT), Proctor & Gamble (PG), and Microsoft (MSFT). Hint: you should have 85 observations for each stock.
a. Construct a variable Returnt = W for each stock where t is the
current month and M is the prior month (you don‘t need to report anything here though).
b. Compute the sample mean and sample standard deviation for the monthly return of
each stock.
c. Test whether the average Returnt for each stock is significantly different from zero.
d. Compute the correlation and covariance between the WMT, PG and MSFT Returnt
variables.
e. Using the methods you learned in class. find the portfolio that minimizes the overall portfolio variance (a three stock portfolio consisting of these three stocks) subject to the requirement that you earn an expected monthly return of at least .005.

PLACE THIS ORDER OR A SIMILAR ORDER WITH US TODAY AND GET A GOOD DISCOUNT 🙂

Leave a Reply

Your email address will not be published. Required fields are marked *

Manage Orders