as372f08a3 - ActSc 372 FALL 2008 Assignment 3 Due Date:...

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 Date: Friday October 31, 2008 (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), Sunlife Financial (SLF.TO), and Research in Motion (RIM.TO) for periods October 1, 2000 to October 1, 2008 (inclu- sive). Here is a sample of the downloaded adjusted monthly prices: date BMO PCA SLF RIM 01/10/2008 11714.51 45.68 35.23 38.5 71.19 . . . . . . . . . . . . . . . . . . 02/10/2000 9639.57 29.36 15.24 27.38 25.33 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
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 09/18/2011 for the course ACTSC 372 taught by Professor Maryhardy during the Winter '09 term at Waterloo.

Page1 / 2

as372f08a3 - ActSc 372 FALL 2008 Assignment 3 Due Date:...

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