Question 4)There are three type of investment in a portfolio: S&P 500 index, 10-year treasury bond index,cash invested in money market a 1-day federal fund rate. Table 1 represents S&P 500 index forreturn on stocks, 10-year treasury bond index for return on bonds and cash invested in moneymarket a 1-day federal fund rate.Table 1. S&P 500 Index, Bond Index and Money MarketBonds3287,3Money Market1007,8YearStocks1995792,11996973,93291,61055,319971346,51670,12011,31837,43687,34220,23903,34575,31119,51165,2199819991246,520001313,1(a) Calculate the geometric means of rates of return for stocks, bonds, and money market.(b) Calculate the covariance matrix of rates of return.Table 2. Covariances between rates of return of securitiesCovarianceStocksStocks BondsMoney Market??Bonds???Money Market???(c) Set the quadratic program to minimize the portfolio risk. It is assumed that shortsales areallowed.

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Description: Question 4)There are three type of investment in a portfolio: S&P 500 index, 10-year treasury bond index,cash invested in money market a 1-day federal fund rate. Table 1 represents S&P 500 index forreturn on stocks, 10-year treasury bond index for r

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Question 4) There are three type of investment in a portfolio: S&P 500 index, 10-year treasury bond index, cash invested in money market a 1-day federal fund rate. Table 1 represents S&P 500 index for return on stocks, 10-year treasury bond index for return on bonds and cash invested in money market a 1-day federal fund rate. Table 1. S&P 500 Index, Bond Index and Money Market Money Market 1007,8 Year Stocks 792,1 973,9 Bonds 1995 3287,3 1996 3291,6 1055,3 1997 1346,5 1670,1 2011,3 1837,4 3687,3 4220,2 3903,3 4575,3 1119,5 1165,2 1998 1999 1246,5 1313,1 2000 (a) Calculate the geometric means of rates of return for stocks, bonds, and money market. (b) Calculate the covariance matrix of rates of return. Table 2. Covariances between rates of return of securities |Covariance Stocks Bonds Money Market Stocks Bonds Money Market ? ? ? ? ? ? ? ? ? (c) Set the quadratic program to minimize the portfolio risk. It is assumed that shortsales are allowed.

Question 4) There are three type of investment in a portfolio: S&P 500 index, 10-year treasury bond index, cash invested in money market a 1-day federal fund rate. Table 1 represents S&P 500 index for return on stocks, 10-year treasury bond index for return on bonds and cash invested in money market a 1-day federal fund rate. Table 1. S&P 500 Index, Bond Index and Money Market Money Market 1007,8 Year Stocks 792,1 973,9 Bonds 1995 3287,3 1996 3291,6 1055,3 1997 1346,5 1670,1 2011,3 1837,4 3687,3 4220,2 3903,3 4575,3 1119,5 1165,2 1998 1999 1246,5 1313,1 2000 (a) Calculate the geometric means of rates of return for stocks, bonds, and money market. (b) Calculate the covariance matrix of rates of return. Table 2. Covariances between rates of return of securities |Covariance Stocks Bonds Money Market Stocks Bonds Money Market ? ? ? ? ? ? ? ? ? (c) Set the quadratic program to minimize the portfolio risk. It is assumed that shortsales are allowed.

Algebra and Trigonometry (MindTap Course List)

4th Edition

ISBN:9781305071742

Author:James Stewart, Lothar Redlin, Saleem Watson

Publisher:James Stewart, Lothar Redlin, Saleem Watson

Chapter10: Systems Of Equations And Inequalities

Section10.FOM: Focus On Modeling: Linear Programming

Problem 14P

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