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Sheet1
| 1. Expected returns | ||||||||||
| Stock1 | Stock2 | Stock3 | Stock4 | Stock5 | ||||||
| 10.00% | 18.00% | 5.00% | -5.00% | 2.00% | ||||||
| 2. Variance-covariance matrix | ||||||||||
| Stock1 | Stock2 | Stock3 | Stock4 | Stock5 | ||||||
| Stock1 | 0.01500 | 0.00830 | 0.00774 | 0.00843 | 0.00890 | |||||
| Stock2 | 0.00830 | 0.00600 | 0.00896 | 0.00079 | 0.00388 | |||||
| Stock3 | 0.00774 | 0.00896 | 0.00900 | 0.00583 | 0.00250 | |||||
| Stock4 | 0.00843 | 0.00079 | 0.00583 | 0.00400 | 0.00157 | |||||
| Stock5 | 0.00890 | 0.00388 | 0.00250 | 0.00157 | 0.00070 | |||||
| 3. Porfolio | ||||||||||
| Use solver to find out portfolio allocation | ||||||||||
| Weight1 | Weight2 | Weight3 | Weight4 | Weight5 | Sum | Return(Rp) | Variance (VARp) | Risk | Please post your screen shot of solver setup window. | |
| [a] | [b] | [c] | [d] | [e] | ||||||
Given expected stock returns, variance/covariance tables, given the portfolio initial weights , please find portolio weights that maximize portfolio returns and meet the following criteria:1. Sum of stock 1 and 2 and <=50%2. Weight in stock 5 is less than or equal to 7%.3. Weight in stock 3 is greater or equal to 10%.4. Minimal stock weight is 1%What is your finding of portfolio allocation?Please post your screen shot of solver setup window.Weight1 is [a] Weight2 is [b] Weight3 is [c] Weight4 is [d] Weight5 is [e] Enter your answer without any decimals, format in percentage, and enter the numbers without % sign.For example, if weight 1 = .1234 ( 12.34%) , please just enter 12 as your answer.
