Professional Development in Finance: Week Five

•?（?????）= 0.023135； ????? = 0.09025
•?（?????）= 0.028387； ????? = 0.08964
•?????，????= 0.37097
•??= 1.57％

a）在AMZN中投资?1= 35％的投资组合的预期收益和标准差
AAPL中，?2= 65％。确保指出要使用的公式并显示您的

b）两种风险资产的最小方差组合中的投资比例。
•您可以使用类中的公式，也可以使用Solver，但与往常一样，请清楚地说明

c）MVP的预期收益和标准差。

d）计算该风险对象的预期收益，标准差和夏普比率

e）如果每个客户组在第一财务公司管理的资产为\$ 1,000,000，请报告

f）最后，评论相关系数?????，?????。你认为这个投资组合是

Part 2
One idea I have been considering as an alternative strategy is to combine the portfolio of AMZN
and AAPL with a long-term bond fund. The expected returns and standard deviation of this
bond fund are 1.3% and 4.78%, respectively. The correlation between the bond fund and the
portfolio of AMZN and AAPL is 0.12.
Please do the following computations for me: ultimately, I need you to tell me whether this
strategy is more efficient than my original strategy of combining AMZN, AAPL, and the riskfree asset.
a) Find the minimum variance portfolio in this scenario and report its weights, expected
returns, and standard deviation. (You can treat this as a two-asset problem, where the
portfolio of AMZN and AAPL is one risky asset and the bond fund is the second risky
asset.)
b) Build a portfolio opportunities set for these two investments (the bond fund and the
portfolio of AMZN and AAPL) and organize the relevant information in a clear table.
Limit the allocation to 100% and use increments of 5%.
c) Plot out the POS and add the appropriate CAL if the risk-free rate is 1.57%.
d) Report the expected returns and standard deviation of the tangency portfolio. Add a
label or a special symbol for that point on your graph.
e) Is this alternative portfolio more efficient than the portfolio constructed with AMZN and
AAPL? In four or five sentences, explain your reasoning and discuss the role of ?.
Please make sure that you append all data, spreadsheets, and relevant calculations
and that:
o Any figures you include in your report are clearly labeled, with easy-toread axes and legends.
o Your spreadsheet, once opened, is easy to navigate. Series and any
worksheet tabs should be clearly and appropriately labeled.
o You include one or more clearly labeled worksheets for any calculations
discussed in your memo. Please annotate your worksheets so that any
third party can see what computation corresponds to any part of the
assignment.
o Ideally, your labeling and annotations should be sufficiently clear that any
supervisor can replicate all of your results based on the workbook you
submit within 5-10 minutes.
o You correctly cite any sources you used in forming your analysis.
When submitting to latte, make sure that click submit and you receive a confirmation
email that your work has been submitted.

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