Problem Set 2 submission.xlsx

Problem Set 2 submission.xlsx - Microsoft Excel 16.0 Answer...

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Microsoft Excel 16.0 Answer Report Worksheet: [Problem Set 2 submission.xlsx]Results Report Created: 9/21/2017 9:54:27 PM Result: Solver found a solution. All Constraints and optimality conditions are satisfied. Solver Engine Solver Options Objective Cell (Min) Cell Name Original Value Final Value \$Q\$2Min Var SD[rP] 0.84% 0.84% Variable Cells Cell Name Original Value Final Value Integer \$M\$2Min Var w(US) 0.000 0.000 Contin \$N\$2Min Var w(EAFE) 0.000 0.000 Contin Constraints NONE

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Portfolio Management Name Prof. Robert Whitelaw NetID Problem Set #2 Please type your name and NetID correctly in the blue cells. Please do all calculations in Excel and put your answers in the yellow cells. Please do not move or reformat the yellow cells. Total Returns Excess Returns Date US EAFE EM RF US EAFE EM Jan-88 4.44% 1.81% 9.84% 0.29% 4.15% 1.52% 9.55% Monthly Feb-88 4.32% 6.69% 0.34% 0.46% 3.86% 6.23% -0.12% Mar-88 -2.98% 6.17% 10.74% 0.44% -3.42% 5.73% 10.30% Apr-88 1.19% 1.47% 5.34% 0.46% 0.73% 1.01% 4.88% May-88 0.54% -3.18% 3.00% 0.51% 0.03% -3.69% 2.49% Jun-88 4.86% -2.62% 3.40% 0.49% 4.37% -3.11% 2.91% Jul-88 -0.47% 3.16% -2.54% 0.51% -0.98% 2.65% -3.05% Annualized Aug-88 -3.03% -6.48% -2.68% 0.59% -3.62% -7.07% -3.27% Sep-88 4.30% 4.39% 6.48% 0.62% 3.68% 3.77% 5.86% Oct-88 1.65% 8.58% -0.65% 0.61% 1.04% 7.97% -1.26% Nov-88 -1.71% 5.98% -0.43% 0.57% -2.28% 5.41% -1.00% Dec-88 1.99% 0.58% 2.66% 0.63% 1.36% -0.05% 2.03% Jan-89 6.81% 1.78% -1.26% 0.55% 6.26% 1.23% -1.81% Unconstrained Feb-89 -2.59% 0.53% 7.65% 0.61% -3.20% -0.08% 7.04% Mar-89 2.24% -1.94% 9.96% 0.67% 1.57% -2.61% 9.29% Apr-89 5.38% 0.95% 18.98% 0.67% 4.71% 0.28% 18.31% May-89 4.15% -5.42% 1.35% 0.79% 3.36% -6.21% 0.56% Jun-89 -0.49% -1.66% -12.13% 0.71% -1.20% -2.37% -12.84% 2 asset Jul-89 8.75% 12.58% 6.58% 0.70% 8.05% 11.88% 5.88% Aug-89 1.72% -4.48% 2.32% 0.74% 0.98% -5.22% 1.58% Sep-89 -0.18% 4.57% 12.60% 0.65% -0.83% 3.92% 11.95% Oct-89 -1.92% -4.00% 1.40% 0.68% -2.60% -4.68% 0.72% Nov-89 2.20% 5.05% -4.66% 0.69% 1.51% 4.36% -5.35% Dec-89 2.10% 3.71% 12.21% 0.61% 1.49% 3.10% 11.60% Jan-90 -6.65% -3.70% 3.29% 0.57% -7.22% -4.27% 2.72% Feb-90 1.31% -6.96% 3.92% 0.57% 0.74% -7.53% 3.35% Constrained Mar-90 2.78% -10.40% -13.53% 0.64% 2.14% -11.04% -14.17% Apr-90 -2.15% -0.77% 7.21% 0.69% -2.84% -1.46% 6.52% May-90 9.56% 11.44% 8.21% 0.68% 8.88% 10.76% 7.53% Jun-90 -0.22% -0.86% 3.46% 0.63% -0.85% -1.49% 2.83% Jul-90 -0.28% 1.43% 8.82% 0.68% -0.96% 0.75% 8.14% Aug-90 -9.13% -9.68% -12.76% 0.66% -9.79% -10.34% -13.42% Sep-90 -4.91% -13.91% -12.77% 0.60% -5.51% -14.51% -13.37% Oct-90 0.15% 15.61% -1.86% 0.68% -0.53% 14.93% -2.54%
Nov-90 6.94% -5.87% -5.22% 0.57% 6.37% -6.44% -5.79% Dec-90 2.76% 1.66% 4.23% 0.60% 2.16% 1.06% 3.63% Jan-91 5.10% 3.26% 8.08% 0.52% 4.58% 2.74% 7.56% Feb-91 7.21% 10.75% 14.79% 0.48% 6.73% 10.27% 14.31% Mar-91 3.11% -5.98% 4.11% 0.44% 2.67% -6.42% 3.67% Apr-91 0.20% 1.01% 1.05% 0.53% -0.33% 0.48% 0.52% May-91 4.20% 1.07% 7.85% 0.47% 3.73% 0.60% 7.38% Jun-91 -4.41% -7.32% -3.57% 0.42% -4.83% -7.74% -3.99% Jul-91 5.10% 4.94% 5.18% 0.49% 4.61% 4.45% 4.69% Aug-91 2.78% -2.01% 2.11% 0.46% 2.32% -2.47% 1.65% Sep-91 -1.15% 5.67% -3.83% 0.46% -1.61% 5.21% -4.29% Oct-91 1.75% 1.44% 4.08% 0.42% 1.33% 1.02% 3.66% Nov-91 -3.61% -4.64% -1.49% 0.39% -4.00% -5.03% -1.88% Dec-91 11.74% 5.20% 11.24% 0.38% 11.36% 4.82% 10.86% Jan-92 -1.46% -2.11% 11.58% 0.34% -1.80% -2.45% 11.24% Feb-92 1.02% -3.55% 4.44% 0.28% 0.74% -3.83% 4.16% Mar-92 -1.83% -6.57% 3.38% 0.34% -2.17% -6.91% 3.04% Apr-92 2.54% 0.50% -0.69% 0.32% 2.22% 0.18% -1.01% May-92 0.84% 6.72% -0.36% 0.28% 0.56% 6.44% -0.64% Jun-92 -1.62% -4.71% -9.92% 0.32% -1.94% -5.03% -10.24% Jul-92 4.49% -2.53% 1.09% 0.31% 4.18% -2.84% 0.78% Aug-92 -1.94% 6.31% -4.66% 0.26% -2.20% 6.05% -4.92% Sep-92 1.29% -1.94% 0.34% 0.26% 1.03% -2.20% 0.08% Oct-92 1.05% -5.22% 5.35% 0.23% 0.82% -5.45% 5.12% Nov-92 3.78% 0.97% -1.08% 0.23% 3.55% 0.74% -1.31% Dec-92 1.47% 0.55% 2.94% 0.28% 1.19% 0.27% 2.66% Jan-93 0.66% 0.02% 0.48% 0.23% 0.43% -0.21% 0.25% Feb-93 0.90% 3.05% 1.68% 0.22% 0.68% 2.83% 1.46% Mar-93 2.40% 8.75% 3.31% 0.25% 2.15% 8.50% 3.06% Apr-93 -2.41% 9.52% 2.30% 0.24% -2.65% 9.28% 2.06% May-93 2.72% 2.14% 2.79% 0.22% 2.50% 1.92% 2.57% Jun-93 0.51% -1.54% 2.97% 0.25% 0.26% -1.79% 2.72% Jul-93 -0.28% 3.52% 2.64% 0.24% -0.52% 3.28% 2.40% Aug-93 3.73% 5.42% 8.44% 0.25% 3.48% 5.17% 8.19% Sep-93 -0.43% -2.23% 3.66% 0.26% -0.69% -2.49% 3.40% Oct-93 1.85% 3.10% 8.97% 0.22% 1.63% 2.88% 8.75% Nov-93 -1.41% -8.72% 4.43% 0.25% -1.66% -8.97% 4.18% Dec-93 1.58% 7.24% 16.53% 0.23% 1.35% 7.01% 16.30% Jan-94 3.06% 8.48% 1.82% 0.25% 2.81% 8.23% 1.57% Feb-94 -2.37% -0.26% -1.78% 0.21% -2.58% -0.47% -1.99% Mar-94 -4.33% -4.29% -9.05% 0.27% -4.60% -4.56% -9.32% Apr-94 1.36% 4.27% -2.00% 0.27% 1.09% 4.00% -2.27% May-94 0.98% -0.55% 3.42% 0.31% 0.67% -0.86% 3.11% Jun-94 -2.60% 1.44% -2.76% 0.31% -2.91% 1.13%

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