Considering the attached set of securities and portfolio returns:Choose different values within the range of the standard deviation of the portfolio, and for each chosen value, locate the corresponding point on the efficient frontier by finding the weights that maximize the expected rate of return of the portfolio. Individual Portfolio AssetsAnnualizedAllocationMean ReturnsStdDevSharpe Ratio0.44TickersPercentageNameAllocation (w)(Volatility a)(H)6.24%WMT20.00% Walmart Inc0.2015.65%KO10.00% Coca-Cola Co0.104.06%14.89%0.31PFE5.00% Pfizer Inc.0.050.33%15.33%0.06cvs25.00% CVS Health Corp0.257.33%24.75%0.32BRK.A40.00% Berkshire Hathaway Inc. Class A0.409.53%16.05%0.63Portfolio Calculations (Annualized)ExpectedStdDev# AssetsAllocationSharpe RatioReturns(Volatility o)100.00%7.32%13.74%0.58Portfolio Coorelation MatrixWMTкоPFECVsBRK.AWMT1.0000.2400.0850,3480.318ко0.2400.9850.1400.3500.567PFE0.0850.1400.9680.1980.168CVs0.3480.3500.1980.9990.457BRK.A0.3180.5670.1680.4570.994Portfolio Annualized Covariance MatrixWMTкоPFECVsBRK.AWMT0.0270.0070.0040.0140.009ко0.0070.0280.0060.0140.016PFE0.0040.0060.0680.0130.007CVs0.0140.0140.0130.0590.018BRK.A0.0090.0160.0070.0180.027

Tickers % Name Allocation Mean stdev sharpe ratio WMT 20.00% Walmart Inc 0.2 6.24% 15.65% 0.44…

| Tickers WMT ко PFE CVS BRK.A # Assets 5 WMT ко PFE CVS BRK.A WMT КО PFE Allocation Percentage Individual Portfolio Assets Name 20.00% Walmart Inc 10.00% Coca-Cola Co 5.00% Pfizer Inc. 25.00% CVS Health Corp 40.00% Berkshire Hathaway Inc. Class A Portfolio Calculations (Annualized) Expected Returns Allocation 100.00% WMT 1.000 0.240 0.085 0.348 0.318 Portfolio Coorelation Matrix 7.32% WMT 0.027 0.007 0.004 КО 0.240 0.985 0.140 0.350 0.567 StdDev (Volatility o) КО 0.007 0.028 0.006 13.74% Portfolio Annualized Covariance Matrix PFE 0.004 0.006 0.068 PFE 0.085 0.140 0.968 0.198 0.168 Allocation (w) 0.20 Sharpe Ratio 0.58 CVS 0.348 0.350 0.198 0.999 0.457 0.10 0.05 0.25 0.40 CVS 0.014 0.014 0.013 Mean Returns (μ) 6.24% 4.06% 0.33% 7.33% 9.53% BRK.A 0.318 0.567 0.168 0.457 0.994 BRK.A 0.009 0.016 0.007 Annualized StdDev (Volatility a) 15.65% 14.89% 15.33% 24.75% 16.05% Sharpe Ratio 0.44 0.31 0.06 0.32 0.63

| Tickers WMT ко PFE CVS BRK.A # Assets 5 WMT ко PFE CVS BRK.A WMT КО PFE Allocation Percentage Individual Portfolio Assets Name 20.00% Walmart Inc 10.00% Coca-Cola Co 5.00% Pfizer Inc. 25.00% CVS Health Corp 40.00% Berkshire Hathaway Inc. Class A Portfolio Calculations (Annualized) Expected Returns Allocation 100.00% WMT 1.000 0.240 0.085 0.348 0.318 Portfolio Coorelation Matrix 7.32% WMT 0.027 0.007 0.004 КО 0.240 0.985 0.140 0.350 0.567 StdDev (Volatility o) КО 0.007 0.028 0.006 13.74% Portfolio Annualized Covariance Matrix PFE 0.004 0.006 0.068 PFE 0.085 0.140 0.968 0.198 0.168 Allocation (w) 0.20 Sharpe Ratio 0.58 CVS 0.348 0.350 0.198 0.999 0.457 0.10 0.05 0.25 0.40 CVS 0.014 0.014 0.013 Mean Returns (μ) 6.24% 4.06% 0.33% 7.33% 9.53% BRK.A 0.318 0.567 0.168 0.457 0.994 BRK.A 0.009 0.016 0.007 Annualized StdDev (Volatility a) 15.65% 14.89% 15.33% 24.75% 16.05% Sharpe Ratio 0.44 0.31 0.06 0.32 0.63

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

See similar textbooks

Similar questions

Solve the following Make in-house or outsource decision model using Monte Carlo Simulation of Data Table. The production level has to be set equal to demand. Demand is assumed to follow a normal distribution of mean = 1200 and a standard deviation of 175. Make 1000 trials to simulate demand to find out the approximate probability to meet the demand through outsourcing,DataManufactured in-houseFixed cost$50,000Unit variable cost$135 Purchased from supplierUnit cost$180 Production volume Model Total manufacturing costTotal purchased cost Cost differenceDecision (Production/ Outsourcing)
Does the data need to be normally distributed for a t-test to work?
One tree in the study had a weight that exceeded its expected weight (according to the best fit curve) by more than that of any other tree. By how many tons did the trees actual weight exceed the expected weight for its height?
Answer quick
Directions: Compute the total returns, the average of returns, and the standard deviation of the following stocks: 1) 2) EGRH Inc. MP, Ltd. AVERAGE OF STOCK RETURN YEA AVERAGE OF RETURNS (x) YEAR STOCK RETURN PRICE (x₁) PRICE RETU Jan-2021 Po Feb-2021 P8.6 Jan-2021 PO. Feb-2021 PO.090 Mar-2021 P0.097 Apr-2021 PO.189 May-2021 PO.164 Mar-2021 P9.14 Apr-2021 P13.30 May-2021 P13 Jun-2021 P60 Jul-2021 16.94 Jun-2021 P0.495 Jul-2021 PO.28 Aug-2021 PO Sep-2021 90 Aug-202 P13.70 Sep-2 P14.88 Oct-2021 0.375 Oct 21 P15.30 Nov-20 PO.325 N2021 P14.30 Dec-2 PO.330 ec-2021 P15.52 3) SD (8) GSM Inc. YEAR Jan-2021 P57. Feb-2021 P52.90 Mar-2021 P50.95 Apr-2021 P58.25 May-2021 P74.05 Jun-2021 P94.75 Jul-2021 P85.0 Aug-2021 P10 Sep-2021 P 00 Oct-2021 01.00 Nov-2021 100.40 Dec-202 P113.80 SD (8) = STOCK RETURN PRICE (x₁) AVERAGE OF RETURNS -x)² SD (8) = ACEE, Inc. YEAR STOCK RETURN PRICE (x₁) Jan-2021 P13.56 Feb-2021 P20.80 Mar-2021 P22.50 Apr-2021 P18.90 May-2021 P17.00 Jun-2021 P18.76 Jul-2021 P16.38…
Directions: Compute the total returns, the average of returns, and the standard deviation of the following stocks: 1) 2) EGRH Inc. DMP, Ltd. STOCK RETURN YEA AVERAGE OF RETURNS (x) YEAR STOCK RETURN PRICE AVERAGE OF RETURNS (x) PRICE (x₁) Jan-2021 P8.30 Feb-2021 P8.60 Jan-2021 PO. Feb-2021 PO.090 Mar-2021 P0.097 Apr-2021 PO.189 May-2021 PO.164 Mar-2021 P9.14 Apr-2021 P13.30 May-2021 P13.74 Jun-2021 P14.80 Jul-2021 P16.94 Jun-2021 P0.495 Jul-2021 PO.28 Aug-2021 PO Sep-2021 90 Aug-2021 P13.70 Sep-2021 P14.88 Oct-2021 0.375 Oct-2021 P15.30 Nov-20 PO.325 Nov-2021 P14.30 Dec-2 PO.330 Dec-2021 P15.52 3) SD (8) GSM Inc. STOCK YEAR PRICE Jan-2021 P57.70 Feb-2021 P52.90 Mar-2021 P50.95 Apr-2021 P58.25 May-2021 P74.05 Jun-2021 P94.75 Jul-2021 P85.00 Aug-2021 P105.00 Sep-2021 P114.00 Oct-2021 | P101.00 Nov-2021 P100.40 Dec-2021 P113.80 SD (8) = RETURN (x₁) -x)² AVERAGE OF RETURNS (x-x)² (x) SD (8) = ACEE, Inc. YEAR STOCK RETURN PRICE (x₁) Jan-2021 P13.56 Feb-2021 P20.80 Mar-2021 P22.50 Apr-2021…
Consider the model (1-B)(1-0.2B)X_t = (1-0.5B)W_t find the forecasts for one, two and three steps ahead and calculate the variance of the one, two, and three steps ahead forecast errors