as372w10a3 - ActSc 372 WINTER 2010 Assignment 3 Due Date:...

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Unformatted text preview: ActSc 372 WINTER 2010 Assignment 3 Due Date: Friday February 26, 2010 (Beginning of Class) 1. Excel Exercise. This question requires a data set that can be downloaded from the course webpage. All Excel program must be uploaded to the course webpage via dropbox before the due date. Details on how to upload your program will be posted on the course webpage. You must also include documentation on how to run the program on obtaining the answers to the questions below. The data set contains the monthly prices of S&P/TSX (ticker symbolGSPTSE), RIM, Royal Bank, Rogers Communications, and Manulife Life, for periods February, 2000 to February 2010. Now answer the following parts based on the above data set: (a) Use Excel to compute the average monthly returns and the variance-covariance matrix of the index and stocks. (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). Use Excel Solver again to determine the minimum attainable risk (inweights)....
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as372w10a3 - ActSc 372 WINTER 2010 Assignment 3 Due Date:...

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