Reference no: EM132390535 , Length: 1 Page
ACTIVITY - RE-BALANCE A PORTFOLIO TO REACH TARGET BETA
In this activity, you will use Goal Seek to find the combination of assets to reach a target risk level.
PART A -
In the upload, you are given the variance and covariance for each stock. Use the covariance, along with the variance of the S&P 500 to find the beta for each stock.
You are also given the number of shares owned as well as the price for each stock. Find the dollar value for each asset. In cell G9, add up the dollar values for each stock to get the total portfolio value. Take each value and divide by the sum to find the weight invested in each asset.
Take the weight in each asset and multiply by its respective beta. Use the MMULT function with the TRANSPOSE function in cell B11 for this calculation. This will give you the current portfolio beta.
PART B -
Copy your results over to worksheet SOLUTION9.3B. Use Goal Seek to find the number of shares required in asset A to reduce the portfolio beta down to 1. Your final portfolio beta may not exactly equal 1, but at the very least should be very close to 1.
Attachment:- Assignment Files.rar
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ACTIVITY - Re-Balance A Portfolio To Reach Target Beta
: ACTIVITY - RE-BALANCE A PORTFOLIO TO REACH TARGET BETA. In this activity, you will use Goal Seek to find the combination of assets to reach a target risk level
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