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2. Suppose that at the end of the trading day on January 3, 2018, you want to build a portfolio with these four stocks using the monthly statistical parameters from above. Let r = (rAAPL + rAMZN + rWMT + rXOM) / 4 be the average of the expected monthly rates of return of these stocks. Find the weights of the minimum variance portfolio with expected rate of return r. Moreover, if on that date you have $1,000,000, deduce the number of shares of each of these stocks you will have in your portfolio.
3. Using the adjusted closing prices on June 29, 2018 find the market value of your portfolio and the rate of return of your investment.
4. Using the S&P 500 as the Market and the same historical data (monthly adjusted closing prices from February 1, 2012 to December 29, 2017). Compute the Beta of each of these stocks.
5. If the monthly risk-free rate is rf = 0.0017, compute the Jensen and Sharpe indexes of each of these stocks. Derive the Jensen and Sharpe indexes of your portfolio. What can you conclude?
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