Due Date: by 11:59pm next Monday

Email your group assignment as an Excel attachment to qw18zt@brocku.ca

S&P (A) 2-year Bond (B)

Sharpe Ratio (SR) 0.3 1.0
Standard Deviation () 20% 2%
Correlation (AB) 0.3

Based on the above information, do the following for each portfolio:

1. Calculate WA and WB for equally weighted portfolio, MCTR and PCTR.

2. Calculate WA and WB for equal volatility scaled portfolio, MCTR and PCTR.

3. Calculate WA and WB for minimum variance portfolio, MCTR and PCTR. Verify that
MCTRA = MCTRB and A = B

4. Calculate WA and WB for maximum Sharpe ratio portfolio, MCTR and PCTR.

5. Interpret your results for each portfolio.