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[Solved] Assignment 2 FIN 421 Spring 2021

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FIN 421 Assignment 2

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FIN 421 Assignment 2

In this assignment you will apply mean variance analysis for an asset allocation decision. Mean Variance Analysis in Practice Assume you are a portfolio manager for a large pension fund and in charge of allocating funds across major asset classes. Specifically, today is 12/31/2014 and you are...

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fin 421 assignment 2
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assignment 2 fin 421 spring 2021

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Fixed Income Equities Commodities
Date T-Bonds Corp. Bonds S&P 500 MSCI World GSCI Gold
197301 -0.010 -0.002 -0.0168 0.003 0.034 0.020
197302 -0.003 0.004 -0.0338 0.008 0.043 0.292
197303 0.000 0.000 -0.0011 0.002 -0.024 0.058
197304 0.009 0.010 -0.0401 -0.050 0.060 0.005
197305 0.002 -0.004 -0.0140 -0.002 0.182 0.262
197306 0.003 -0.011 -0.0052 0.007 -0.017 0.079
197307 -0.021 -0.035 0.0391 0.025 0.258 -0.067
197308 0.020 0.037 -0.0315 -0.041 0.025 -0.097
197309 0.022 0.032 0.0422 0.030 -0.050 -0.036
197310 0.008 -0.011 0.0003 0.011 -0.053 -0.030
197311 0.006 0.011 -0.1072 -0.129 0.052 0.031
197312 -0.001 -0.013 0.0180 -0.007 0.105 0.120
197401 0.007 0.001 -0.0081 0.009 0.112 0.187
197402 0.003 0.002 0.0020 0.016 -0.005 0.272
197403 -0.016 -0.030 -0.0218 -0.024 -0.115 0.021
197404 -0.008 -0.030 -0.0376 -0.016 0.011 -0.026
197405 0.012 0.007 -0.0269 -0.039 -0.068 -0.071
197406 0.000 -0.045 -0.0128 -0.030 0.124 -0.062
197407 0.001 -0.009 -0.0767 -0.058 0.238 0.049
197408 0.001 -0.025 -0.0822 -0.095 -0.049 0.008
197409 0.025 0.012 -0.1175 -0.092 0.121 -0.050
197410 0.012 0.073 0.1681 0.097 0.090 0.128
197411 0.020 -0.003 -0.0457 -0.014 0.019 0.094
197412 0.012 -0.008 -0.0180 -0.015 -0.083 0.030
197501 0.012 0.068 0.1236 0.147 -0.156 -0.060
197502 0.012 0.020 0.0675 0.090 -0.104 0.031
197503 -0.004 -0.032 0.0240 0.008 0.084 -0.022
197504 -0.014 -0.009 0.0494 0.043 -0.046 -0.058
197505 0.020 0.026 0.0512 0.025 -0.015 0.002
197506 0.004 0.027 0.0462 0.014 0.016 -0.010
197507 -0.003 -0.002 -0.0655 -0.054 0.078 0.002
197508 0.004 -0.005 -0.0157 -0.014 0.096 -0.029
197509 -0.002 -0.012 -0.0323 -0.041 0.011 -0.144
197510 0.031 0.048 0.0649 0.070 -0.080 0.037
197511 -0.001 -0.005 0.0301 0.028 -0.012 -0.036
197512 0.019 0.035 -0.0105 0.002 -0.026 0.014
197601 0.010 0.029 0.1201 0.090 -0.048 -0.087
197602 0.002 0.010 -0.0058 -0.007 0.057 0.034
197603 0.010 0.015 0.0326 0.013 0.002 -0.021
197604 0.007 0.004 -0.0096 -0.006 0.038 -0.010
197605 -0.007 -0.009 -0.0081 -0.016 0.018 -0.023
197606 0.013 0.015 0.0440 0.032 -0.017 -0.012
197607 0.010 0.014 -0.0072 -0.008 -0.089 -0.092

,197608 0.014 0.022 0.0016 -0.001 -0.028 -0.083
197609 0.009 0.017 0.0244 0.009 -0.099 0.127
197610 0.012 0.010 -0.0202 -0.034 -0.012 0.053
197611 0.023 0.025 -0.0010 -0.003 0.014 0.064
197612 0.009 0.028 0.0538 0.076 0.050 0.034
197701 -0.017 -0.022 -0.0497 -0.033 -0.003 -0.018
197702 0.005 0.003 -0.0156 -0.003 -0.002 0.077
197703 0.007 0.008 -0.0125 -0.005 0.036 0.053
197704 0.006 0.011 0.0006 0.012 0.052 -0.022
197705 0.006 0.009 -0.0151 -0.013 -0.034 -0.023
197706 0.011 0.016 0.0478 0.039 -0.024 -0.002
197707 -0.004 0.003 -0.0155 -0.012 -0.085 0.011
197708 0.008 0.011 -0.0123 0.005 0.010 0.010
197709 0.000 -0.001 -0.0008 0.014 0.036 0.054
197710 -0.004 -0.006 -0.0420 -0.016 0.029 0.045
197711 0.009 0.009 0.0368 0.014 0.043 -0.006
197712 0.000 -0.008 0.0056 0.021 0.051 0.036
197801 0.001 -0.004 -0.0606 -0.028 0.032 0.058
197802 0.002 0.005 -0.0163 -0.006 0.016 0.039
197803 0.003 0.002 0.0269 0.047 0.103 -0.007
197804 0.002 0.000 0.0890 0.046 0.021 -0.059
197805 0.001 -0.009 0.0137 0.014 0.076 0.088
197806 -0.002 0.002 -0.0166 0.011 -0.093 -0.009
197807 0.009 0.013 0.0570 0.073 0.027 0.086
197808 0.009 0.022 0.0336 0.024 0.027 0.042
197809 0.002 -0.004 -0.0052 0.013 0.056 0.049
197810 -0.011 -0.020 -0.0896 -0.018 0.010 0.120
197811 0.009 0.011 0.0268 -0.034 0.026 -0.205
197812 -0.006 -0.015 0.0166 0.034 -0.012 0.159
197901 0.018 0.020 0.0427 0.027 0.072 0.038
197902 -0.001 -0.010 -0.0286 -0.018 0.059 0.077
197903 0.011 0.011 0.0574 0.043 -0.018 -0.045
197904 0.001 -0.006 0.0042 0.000 0.060 0.016
197905 0.017 0.023 -0.0168 -0.016 -0.047 0.138
197906 0.020 0.023 0.0403 0.030 0.013 -0.003
197907 -0.001 0.002 0.0121 0.009 -0.042 0.068
197908 -0.003 0.000 0.0619 0.041 0.115 0.076
197909 -0.001 -0.021 0.0014 0.024 0.043 0.249
197910 -0.040 -0.081 -0.0656 -0.073 -0.032 -0.043
197911 0.030 0.026 0.0528 0.032 0.069 0.099
197912 0.007 -0.004 0.0183 0.028 0.016 0.256
198001 -0.017 -0.048 0.0613 0.061 0.060 0.275
198002 -0.049 -0.069 0.0026 0.002 -0.009 -0.042
198003 0.011 -0.008 -0.0975 -0.106 -0.140 -0.214
198004 0.095 0.129 0.0424 0.067 0.037 0.032

,198005 0.036 0.058 0.0556 0.051 0.061 0.023
198006 0.014 0.025 0.0297 0.049 0.056 0.247
198007 -0.012 -0.027 0.0682 0.032 0.047 -0.067
198008 -0.030 -0.041 0.0135 0.021 0.016 0.025
198009 -0.004 -0.019 0.0279 0.031 0.056 0.057
198010 -0.012 -0.010 0.0178 0.030 0.031 -0.051
198011 -0.002 -0.005 0.1099 0.043 -0.014 -0.023
198012 0.031 0.028 -0.0306 -0.021 -0.074 -0.051
198101 0.001 -0.002 -0.0434 -0.028 -0.064 -0.139
198102 -0.013 -0.024 0.0213 0.004 -0.029 -0.034
198103 0.025 0.023 0.0383 0.037 -0.002 0.049
198104 -0.024 -0.052 -0.0202 0.002 -0.014 -0.065
198105 0.029 0.044 0.0065 -0.019 0.005 -0.005
198106 0.001 -0.001 -0.0083 -0.001 -0.064 -0.120
198107 -0.016 -0.023 0.0007 -0.016 0.045 -0.039
198108 -0.011 -0.026 -0.0555 -0.019 -0.033 0.050
198109 0.005 -0.017 -0.0505 -0.074 -0.001 0.002
198110 0.054 0.059 0.0521 0.032 0.003 0.006
198111 0.067 0.107 0.0438 0.076 -0.045 -0.031
198112 -0.026 -0.047 -0.0271 -0.020 -0.056 -0.037
198201 0.006 0.001 -0.0154 -0.014 0.080 -0.029
198202 0.014 0.023 -0.0504 -0.060 -0.022 -0.064
198203 0.011 0.016 -0.0068 -0.026 0.037 -0.118
198204 0.024 0.036 0.0416 0.050 0.036 0.113
198205 0.015 0.019 -0.0295 -0.024 0.002 -0.088
198206 -0.012 -0.024 -0.0158 -0.044 -0.030 -0.035
198207 0.040 0.046 -0.0202 -0.012 0.022 0.091
198208 0.044 0.071 0.1274 0.074 -0.002 0.196
198209 0.035 0.051 0.0105 0.006 -0.029 -0.036
198210 0.046 0.067 0.1139 0.070 -0.006 0.069
198211 0.007 0.016 0.0458 0.054 0.040 0.015
198212 0.020 0.018 0.0168 0.046 -0.011 0.046
198301 -0.002 0.005 0.0353 0.022 0.007 0.123
198302 0.026 0.035 0.0257 0.022 -0.011 -0.166
198303 -0.003 0.013 0.0355 0.036 0.067 -0.013
198304 0.022 0.041 0.0757 0.072 0.010 0.034
198305 -0.011 -0.020 -0.0057 -0.009 0.005 0.025
198306 0.003 0.000 0.0370 0.032 0.013 -0.051
198307 -0.019 -0.032 -0.0312 -0.017 0.035 0.013
198308 0.007 0.005 0.0159 0.006 0.018 -0.018
198309 0.030 0.036 0.0142 0.021 -0.027 -0.025
198310 0.003 -0.001 -0.0131 -0.011 -0.012 -0.051
198311 0.011 0.012 0.0238 0.027 0.001 0.058
198312 0.002 -0.003 -0.0057 0.014 0.050 -0.060
198401 0.017 0.028 -0.0039 0.009 0.010 -0.025

, 198402 -0.004 -0.012 -0.0340 -0.016 0.005 0.066
198403 -0.008 -0.013 0.0173 0.048 0.049 -0.020
198404 0.000 -0.009 0.0068 -0.003 -0.011 -0.032
198405 -0.023 -0.037 -0.0531 -0.074 0.029 0.019
198406 0.011 0.014 0.0229 0.009 -0.023 -0.021
198407 0.039 0.055 -0.0138 -0.034 -0.067 -0.090
198408 0.015 0.022 0.1124 0.101 0.043 0.018
198409 0.021 0.030 -0.0001 -0.003 -0.008 -0.010
198410 0.039 0.051 0.0033 0.011 0.005 -0.028
198411 0.017 0.017 -0.0098 -0.003 0.004 -0.018
198412 0.014 0.013 0.0256 0.021 -0.020 -0.060
198501 0.021 0.029 0.0769 0.056 0.013 -0.013
198502 -0.018 -0.025 0.0142 0.002 -0.013 -0.047
198503 0.019 0.019 -0.0006 0.035 0.043 0.135
198504 0.020 0.022 -0.0037 -0.002 -0.032 -0.016
198505 0.047 0.064 0.0627 0.052 0.000 -0.035
198506 0.010 0.008 0.0161 0.018 -0.029 0.011
198507 -0.003 -0.004 -0.0033 0.021 -0.022 0.037
198508 0.017 0.024 -0.0065 0.009 0.015 0.023
198509 0.008 0.001 -0.0332 0.008 0.057 -0.028
198510 0.020 0.024 0.0451 0.054 0.072 -0.002
198511 0.022 0.026 0.0719 0.056 0.017 0.005
198512 0.031 0.033 0.0482 0.047 -0.018 -0.001
198601 0.005 0.008 0.0047 0.015 -0.091 0.083
198602 0.043 0.048 0.0765 0.090 -0.035 -0.044
198603 0.042 0.024 0.0558 0.098 -0.002 0.021
198604 0.004 0.005 -0.0133 0.028 0.056 -0.002
198605 -0.025 -0.011 0.0553 -0.003 -0.038 -0.004
198606 0.034 0.019 0.0157 0.040 0.038 0.006
198607 0.006 0.005 -0.0575 0.008 0.010 0.035
198608 0.029 0.021 0.0744 0.088 0.086 0.079
198609 -0.016 -0.003 -0.0832 -0.039 -0.025 0.091
198610 0.014 0.017 0.0565 -0.017 0.011 -0.047
198611 0.011 0.014 0.0249 0.043 0.030 -0.029
198612 0.001 0.009 -0.0275 0.020 -0.007 0.002
198701 0.011 0.022 0.1352 0.118 0.057 0.042
198702 0.007 0.006 0.0418 0.033 -0.060 -0.004
198703 -0.007 -0.004 0.0263 0.062 0.081 0.033
198704 -0.025 -0.033 -0.0090 0.059 0.050 0.085
198705 -0.004 -0.005 0.0091 0.002 0.046 -0.006
198706 0.012 0.015 0.0501 0.000 0.036 -0.010
198707 -0.003 -0.003 0.0498 0.020 0.045 0.038
198708 -0.006 -0.006 0.0391 0.059 -0.020 -0.018
198709 -0.020 -0.028 -0.0219 -0.017 0.007 0.007
198710 0.040 0.033 -0.2158 -0.170 0.010 0.019

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Exam (elaborations)

[Solved] Assignment 2 FIN 421 Spring 2021

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