Based upon your consultations with Weaver

Based upon your consultations with Weaver - Based upon your...

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Based upon your consultations with Weaver, you have drawn up a list of issues that need to be addressed: 1. How well did the entire Riverdale portfolio perform over the ten-year period in terms of average monthly return and average monthly standard deviation? Also, how did the risky part of Riverdale’s portfolio (i.e. minus the t-bills) perform over the same period? (Since removing the t-bills means computing the return for only 90% of the portfolio, divide this return by .9) Answer:- The entire Riverdale portfolio perform over the ten-year period in terms of average, and the monthly return and average monthly standard deviation, and the part’s of Riverdale Sigma DECRET1 DECRET5 DECRET10 GBRET CBRET DECRET1 0.007801 0.004312 0.001701 -0.000254 0.000121 DECRET5 0.004312 0.003557 0.001897 -0.000234 0.000053 DECRET10 0.001701 0.001897 0.002138 -0.000124 0.000051 GBRET -0.000254 -0.000234 -0.000124 0.000431 0.000405 CBRET 0.000121 0.000053 0.000051 0.000405 0.000479 0.136800 0.009585 0.005664 0.000224 0.001110 Riskfree Returns DECRET1 DECRET5 DECRET10 GBRET CBRET REIT1 REIT2 REIT3
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2. Calculate the investment proportions required to achieve the optimal (tangency) risky portfolio and the minimum variance portfolio. Use Solver to achieve this. What is the Sharpe
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