Questions from Management Science

Q: Add a new stock, stock 4, to the model.

Add a new stock, stock 4, to the model. Assume that the estimated mean and standard deviation of return for stock 4 are 0.125 and 0.175, respectively. Also, assume the correlations between stock 4 and...

Q: In the model, stock 2 is not in the optimal portfolio

In the model, stock 2 is not in the optimal portfolio. Use SolverTable to see whether it ever enters the optimal portfolio as its correlations with stocks 1 and 3 vary. Specifically, use a two-way Sol...

Q: The stocks are all positively correlated. What happens when they are

The stocks are all positively correlated. What happens when they are negatively correlated? Answer for each of the following scenarios. In each case, two of the three correlations are the negatives of...

Q: The file contains historical monthly returns for 27 companies. For each

The file contains historical monthly returns for 27 companies. For each company, calculate the estimated mean return and the estimated variance of return. Then calculate the estimated correlations bet...

Q: Continuing the previous problem, create a two-way data table

Continuing the previous problem, create a two-way data table similar to the one-way data. This time, however, allow price to vary down a column and allow the capacity to vary across a row. Each cell o...

Q: This problem continues using the data from the previous problem. The

This problem continues using the data from the previous problem. The file includes all of the previous data and contains investment weights in row 3 for creating a portfolio. These fractions are curre...

Q: Continuing the previous problem, find the portfolio that achieves an expected

Continuing the previous problem, find the portfolio that achieves an expected monthly return of at least 1% and minimizes portfolio variance. Then use SolverTable to sweep out the efficient frontier....

Q: In many cases, the portfolio return is at least approximately normally

In many cases, the portfolio return is at least approximately normally distributed. Then Excel’s NORMDIST function can be used to calculate the probability that the portfolio return is negative. The r...

Q: Given the data in the file Stock Beta.xlsx, estimate

Given the data in the file Stock Beta.xlsx, estimate the beta (and alpha) for Microsoft (MSFT). Do this for each criterion to obtain a table analogous to that in the top right. What do you conclude ab...

Q: Solve the previous problem, but analyze GE instead of Microsoft.

Solve the previous problem, but analyze GE instead of Microsoft.