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Let a portfolio have four assets: Amazon, Google, Microsoft and Coca Cola

Economics

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Let a portfolio have four assets: Amazon, Google, Microsoft and Coca Cola. The data to be used include annual stock prices of these firms, which range from 2011 to 2020. Use Excel to solve the problems below:

I. Find the Variance-Covariance Matrix (S) for this portfolio.

II. Using the proposition 1 of Merton (1973), find two portfolios x and y. For the portfolio x, consider c=0,02 and for the portfolio y, consider c=0,04.

III. Find E(x), E(y), Var (x) and Var(y). Do these portfolios have lower risk than the individual assets?

IV. Let the weight of portfolio x be 40%. Find the Mean and Variance of the portfolio P consisting of x and y.

V. Find the efficient portfolio W using these data.

VI. Also find the Global Minimum Variance Portfolio and its mean & variance