Project I

1
Project I

• Monthly versus Annual parameter estimates
• Estimation errors in parameters
• Suggest that you calculate monthly parameters
• Annual Return 12 Monthly Return
• SD (Annual) sqrt(12) SD (Monthly)
• Use monthly correlation estimates
• Assume that T-Bill is risk free (zero SD)
• Note The minimum variance portfolio and the
  tangency portfolio is among the set of the data
  points
• Project I is due before class on Week 4.