Homework answers / question archive / FIN4230 Assignment 2 Portfolio Optimization Mar 07-21(Due), 2022 Suppose we want to invest in following assets with weight ratios (their ticker symbols are also provided):    Aggregate Bonds ETF (BND) 10%                                                              Small Cap ETF (VB) 20%  Developed markets ETF (VEA) 25%                                                              S&P 500 ETF (VOO) 25%  Emerging Markets ETF (VWO) 20%   Suppose we focus on period from 01-01-2013 to 2018-03-01   Q1(10 points): Compute mean returns and variance/covariance matrix for the above portfolio    Q2 (20 points): Find the optimal portfolio weights and plot the investment frontier    Q3 (10 points) Redo Q1 and Q2 for another period from 03-02-2018 to 2021-03-02 and compare their results    Q4 (Extra 10 points): plot histogram of daily returns for the portfolio in Q1 and Q2 for both of the two periods

FIN4230 Assignment 2 Portfolio Optimization Mar 07-21(Due), 2022 Suppose we want to invest in following assets with weight ratios (their ticker symbols are also provided):    Aggregate Bonds ETF (BND) 10%                                                              Small Cap ETF (VB) 20%  Developed markets ETF (VEA) 25%                                                              S&P 500 ETF (VOO) 25%  Emerging Markets ETF (VWO) 20%   Suppose we focus on period from 01-01-2013 to 2018-03-01   Q1(10 points): Compute mean returns and variance/covariance matrix for the above portfolio    Q2 (20 points): Find the optimal portfolio weights and plot the investment frontier    Q3 (10 points) Redo Q1 and Q2 for another period from 03-02-2018 to 2021-03-02 and compare their results    Q4 (Extra 10 points): plot histogram of daily returns for the portfolio in Q1 and Q2 for both of the two periods

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FIN4230

Assignment 2 Portfolio Optimization

Mar 07-21(Due), 2022

Suppose we want to invest in following assets with weight ratios (their ticker symbols are also provided): 

 

Aggregate Bonds ETF (BND) 10%

                                                             Small Cap ETF (VB) 20%

 Developed markets ETF (VEA) 25%

                                                             S&P 500 ETF (VOO) 25%

 Emerging Markets ETF (VWO) 20%

 

Suppose we focus on period from 01-01-2013 to 2018-03-01

 

Q1(10 points): Compute mean returns and variance/covariance matrix for the above portfolio 

 

Q2 (20 points): Find the optimal portfolio weights and plot the investment frontier 

 

Q3 (10 points) Redo Q1 and Q2 for another period from 03-02-2018 to 2021-03-02 and compare their results 

 

Q4 (Extra 10 points): plot histogram of daily returns for the portfolio in Q1 and Q2 for both of the two periods. (You might need to self learn the function geom_histogram). Is there any difference on the distribution of returns?