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3 Found helpful • 7 Pages • Essays / Projects • Year: Pre-2021
Executive summary This report analyses the monthly returns data on 8 U.S. listed exchange traded funds over past eight years using Excel. Given 4 portfolios (the Swensen portfolio, the Bernstein portfolio, the four fund portfolio and an equal weighted portfolio) with different weights on 8 ETFs, expected portfolio mean return, portfolio standard deviation and Sharpe ratio are calculated in the report. Moreover, using the monthly return data, an efficient frontier and capital allocation line are constructed incorporating optimal portfolio method. Combined with two investors with same utility function but different risk aversion coefficient, optimal risky portfolios which satisfy the maximum utility for each individuals are found. By observing the location of these optimal risky portfolios and four given portfolios on the efficient frontier, we could find the relation between the return and standard deviation. However, the optimal portfolio method has few fundamental flaws which limit its usefulness in practice. Now, questions for report one
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