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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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.

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Contingency Table

A contingency table can be defined as the visual representation of the relationship between two or more categorical variables that can be evaluated and registered. It is a categorical version of the scatterplot, which is used to investigate the linear relationship between two variables. A contingency table is indeed a type of frequency distribution table that displays two variables at the same time.

Binomial Distribution

Binomial is an algebraic expression of the sum or the difference of two terms. Before knowing about binomial distribution, we must know about the binomial theorem.

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ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc