ASSIGMENT 1

On exercise 1.4, to generate the matrix:

=NORM.INV(RAND();mean data;std dev data) for all of them.

For 1.6;

For 2.5: Create column “BAC below VaR” with if function and another column “C below VaR”

To get the probability; Sum both colums; if it’s 0 or 1 it means that one of the two stocks is below
vaR. We want the value to be 2.

=COUNTIF(Sum of columns;2)/COUNT(sum of columns)

For 2.6: Create columns for each stock, including DJI, where they are tested if below VaR (like
previous question).

Create another column “sum” that sums all stocks except DJI.

Create a third column that tests =IF(DJI=1;SUM;0)

Now, to get n=1; use =COUNTIF(test column;1)/COUNTIF(DJI column;1)

Now, to get n=2; use =COUNTIF(test column;2)/COUNTIF(DJI column;1)

Do the same for 3 and 4

2.7: =AVERAGEIF(BAC returns;"<"&VaR BAC;DJI returns)

2.8: =AVERAGEIF(netflix returns;"<"&VaR netflix;DJI returns)

ASSIGMENT 2
SAMPLE EXAM
Exercise MeanVariance in class.

1. To build the opportunity set, we can assign three rand() columns to represent each asset class,
as long as the sum is 1.

We would do: Col1: rand() Col2: rand() Col3: 1-Col1-Col2

Now get the variance using the weights and covariance matrix given

Calc volatility as sqrt of the variance

Get return as weights*expected returns (mmult)

We can plot this with volatility in X and returns in Y

3. To calculate first efficient portfolio; use solver to minimize volatility while fixing return.

For the second one, fix volatility, maximize return and change weights.

6. To characterize the efficient frontier, use Lambda from 0 to 1 by 0.01 increments.

Use the GMV portfolio and the High return portfolio.

To calculate variance volatility and return, same as always

Plot the efficient froniter using the volatility and expected return columns with volatility in X and
returns in Y

Workshop 2

In order to build the efficient frontier of the tangency portfolio, we need to use lambda

First build the portfolio with highest sharpe as baseline

C13 is risk free return in this case.

Plot volatility and exp return with volatility in X and return in Y