FIN 421 Assignment 3: Applying mean variance analysis for an asset allocation decision using real data.

PROF. DAVID SCHREINDORFER FIN 421 - SPRING 2016 Assignment 3 Due: Wednesday, 02.03.16 (11:59PM) In this assignment you will apply mean variance analysis for an asset allocation decision using real data. Mean Variance Analysis in Practice Assume you are a portfolio manager for a large pension fund and in charge of allocating funds across major asset classes. Specifically, today is 12/31/2014 and you are assembling a portfolio for January of 2015. Your investment universe consists of T-bonds (Barclays U.S. Treasury index), investment grade corporate bonds (Barclays U.S. Corp index), domestic stocks (S&P 500), international stocks (MSCI World index), commodities (Goldman Sachs Commodity Index), and gold. Asset allocation decisions are made based on mean variance analysis. On Blackboard, you will find an Excel file containing historical monthly net returns for these assets. Assume that the risk-free rate for 1/2015 equals 0%.