Find the global minimum variance for a portfolio

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Reference no: EM131532374

From Finance.Yahoo.Com download the historical daily prices from January 2, 2013 to June 10, 2015 for each of the following: KO, AMZN, CAT, DVN, and ZROZ. Use the Adjusted Closing Prices for your analysis. For each asset calculate the daily continuously compounded return. Calculate the average of these daily returns for each asset over the returns you computed. Using the continuously compounded daily returns, compute the Variance-Covariance matrix for the returns among the five assets. Find the global minimum variance for a portfolio that must be fully invested across these five assets. NO SHORT SALES ALLOWED. How should the portfolio be divided among the five assets? What is the portfolio variance and standard deviation for this case? Find the minimum variance for a portfolio consisting of the five assets that has a targeted daily return of 0.000375 (that is a minimum required daily return of 0.000375). How should the portfolio be divided among the five assets? What is the minimum portfolio variance and standard deviation for this case? Show your work in Excel.

Reference no: EM131532374

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