Task 2: Tangent portfolio. The next task is to identify mean-variance optimal portfolio
strategies, and examine their performance across time. The proposed procedure is as follows: the mean vector and covariance matrix are estimated up to some date using the previous 2 years of data - for example, 31/10/05. Every week for the next year invest in mean-variance efficient portfolios based on the estimated coefficients and the risk-free return (the LIBOR rate, column J). Compute the tangent portfolio based on the estimated coefficients, and plot the portfolio value if you start with $100 on 31/10/05 and invest each week for the next 52 weeks in (a) the riskless asset only,
(b) the tangent portfolio (no riskless asset) and (c) a 50-50 mixture of the tangent portfolio and the riskless asset.
这是其中一个题目，一共有5个。可以做联系我。QQ：1755745398
strategies, and examine their performance across time. The proposed procedure is as follows: the mean vector and covariance matrix are estimated up to some date using the previous 2 years of data - for example, 31/10/05. Every week for the next year invest in mean-variance efficient portfolios based on the estimated coefficients and the risk-free return (the LIBOR rate, column J). Compute the tangent portfolio based on the estimated coefficients, and plot the portfolio value if you start with $100 on 31/10/05 and invest each week for the next 52 weeks in (a) the riskless asset only,
(b) the tangent portfolio (no riskless asset) and (c) a 50-50 mixture of the tangent portfolio and the riskless asset.
这是其中一个题目，一共有5个。可以做联系我。QQ：1755745398
