Assignment3 - ActSc 372 FALL 2008 Assignment 3 Due:...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
ActSc 372 FALL 2008 Assignment 3 Due: Wednesday 4 March 2009 12.30pm (Beginning of Class) 1. (This question requires EXCEL and SOLVER) Go to http://ca.finance.yahoo.com/ and download the (beginning of the month) historical adjusted monthly closing prices of Montreal (BMO.TO), Petro Canada (PCA.TO), and Research in Motion (RIM.TO) for periods January 3, 2000 to January 3, 2009 (inclusive). Here is a sample of the downloaded adjusted monthly prices: date BMO PCA RIM 03/01/09 9234.11 31.46 29.10 50.98 . . . . . . . . . . . . . . . 03/01/00 8481.11 19.13 10.23 38.5 15.88 Now answer the following parts based on the above downloaded historical prices: (a) Compute the average monthly returns as well as their variance-covariance matrix. (b) Assume the standard Markowitz model holds, use Excel Solver to find the min- imum variance portfolio (give its mean, standard deviation, and the portfolio weights). (c) Use Excel Solver again to determine the minimum attainable risk (in terms of
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 06/10/2010 for the course ACTSC 372 taught by Professor Maryhardy during the Winter '09 term at Waterloo.

Page1 / 2

Assignment3 - ActSc 372 FALL 2008 Assignment 3 Due:...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online