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Unformatted text preview: variance covariance matrix for the set of 15 stock returns. Do not include the S&P index in this exercise. Label clearly. 3. Find two frontier portfolios for the set of 15 stocks using any of the three methods we discussed in class. 4. Graph the set of frontier portfolios. Identify and label the minimum variance portfolio. 5. Is the S&P 500 portfolio efficient with respect to these 15 stocks? Explain. 6. Assume a risk free rate of 4% per annum (.3333% per month), and find the weights for the market portfolio. Compute the mean and variance of the market portfolio. Is anything odd about this market portfolio? 7. Suppose now that short selling is not allowed. Calculate the weights for an efficient portfolio with a constant equal to the mean return on the market portfolio you calculated in the previous problem. Compute the mean and variance of this portfolio....
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This note was uploaded on 03/09/2008 for the course FINC 777 taught by Professor Spindt during the Spring '08 term at Tulane.
 Spring '08
 spindt

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