p********0
发帖数: 186 | 1 HI,
I am doing some homework and try to draw the coefficient frontier based on 5
index fund(US and europe)
I have a history of returns for the 5 equities. Want to draw the mean-
variance frontier with/without the RISK free asset(US treasury T Bill).
FOr the question, "Compute the excess returns by subtracting the US T-BIll
rate), to compute the expected or average returns, add the T-BIll rate that
is quoted at the end of 2007 to the average of the excess returns.
It looks like I need to cacluate |
S****Y
发帖数: 4634 | 2 tbill rate is changing bah
5
that
【在 p********0 的大作中提到】
: HI,
: I am doing some homework and try to draw the coefficient frontier based on 5
: index fund(US and europe)
: I have a history of returns for the 5 equities. Want to draw the mean-
: variance frontier with/without the RISK free asset(US treasury T Bill).
: FOr the question, "Compute the excess returns by subtracting the US T-BIll
: rate), to compute the expected or average returns, add the T-BIll rate that
: is quoted at the end of 2007 to the average of the excess returns.
: It looks like I need to cacluate
|
p********0
发帖数: 186 | 3 Yes, T-BILL and return are for each year from 1928 till 2007.
I am asking what's the rationale behind calculating the Mean Excess Return/
Mean return vs. straight forward calculation of the mean.
Thanks |
S****Y
发帖数: 4634 | 4 didn't look at the question, but expected excess return are using historical
return to calculate, with historical T-bill rate, then add the current T-
bill rate to get the expected return
【在 p********0 的大作中提到】
: Yes, T-BILL and return are for each year from 1928 till 2007.
: I am asking what's the rationale behind calculating the Mean Excess Return/
: Mean return vs. straight forward calculation of the mean.
: Thanks
|
p********0
发帖数: 186 | 5 Yes, T-BILL and return are for each year from 1928 till 2007.
I am asking what's the rationale behind calculating the Mean Excess Return/
Mean return vs. straight forward calculation of the mean.
Thanks |
l*******o
发帖数: 78 | 6 what is Coefficient Frontier? didn't learn this in port theory class. |
p********0
发帖数: 186 | 7 Coefficient Frontier are the portfolios with the Minimum variance given the
portfolio return. |
r**u
发帖数: 69 | 8
5
that
Where do you see the "Average Excess Return/Mean" as you described below?
【在 p********0 的大作中提到】
: HI,
: I am doing some homework and try to draw the coefficient frontier based on 5
: index fund(US and europe)
: I have a history of returns for the 5 equities. Want to draw the mean-
: variance frontier with/without the RISK free asset(US treasury T Bill).
: FOr the question, "Compute the excess returns by subtracting the US T-BIll
: rate), to compute the expected or average returns, add the T-BIll rate that
: is quoted at the end of 2007 to the average of the excess returns.
: It looks like I need to cacluate
|
