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Data exercise questionnaire
Gift mark:
Q1: What is your assigned group number which can be found on the rst page of your instruction le: A, B, C, or D? (2
marks)
B
Markowitz optimization: 
Q2: What is the minimum attainable annualized standard deviation for the portfolio with the annualized average return
of 0%? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q3: What is the minimum attainable annualized standard deviation for the portfolio with the annualized average return
of 15%? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312.  If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q4: What is the minimum attainable annualized standard deviation for the portfolio with the annualized average return
of 30%? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q5: Calculate the portfolio weights for the Global Minimum Variance Portfolio (GMVP). What is the portfolio weight in
STOCK 1? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
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Markowitz optimization: 
Q6: Calculate the portfolio weights for the Global Minimum Variance Portfolio (GMVP). What is the portfolio weight in
STOCK 2? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q7: Calculate the portfolio weights for the Global Minimum Variance Portfolio (GMVP). What is the portfolio weight in
STOCK 3? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q8: Calculate the portfolio weights for the Global Minimum Variance Portfolio (GMVP). What is the portfolio weight in
STOCK 4? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q9: Calculate the portfolio weights for the Global Minimum Variance Portfolio (GMVP). What is the portfolio weight in
STOCK 5? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If
your answer is -23.123%, report -0.2312 (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q10: What is the annualized average return of GMVP? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q11: What is the annualized standard deviation of GMVP? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
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Do not use thousands separators.
Markowitz optimization: 
Q12: Calculate the portfolio weights for the Optimal Risky Portfolio (P*). What is the portfolio weight in STOCK
1? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your
answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q13: Calculate the portfolio weights for the Optimal Risky Portfolio (P*). What is the portfolio weight in STOCK
2? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your
answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q14: Calculate the portfolio weights for the Optimal Risky Portfolio (P*). What is the portfolio weight in STOCK
3? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your
answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q15: Calculate the portfolio weights for the Optimal Risky Portfolio (P*). What is the portfolio weight in STOCK
4? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your
answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q16: Calculate the portfolio weights for the Optimal Risky Portfolio (P*). What is the portfolio weight in STOCK
5? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your
answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
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Markowitz optimization: 
Q17: What is the annualized average return of P*? Report your answer in decimals to 4 decimal places. For example, if
your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q18: What is the annualized standard deviation of P*? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q19: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the portfolio weight in STOCK 1 in this optimal complete portfolio? Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q20: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the portfolio weight in STOCK 2 in this optimal complete portfolio? Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q21: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the portfolio weight in STOCK 3 in this optimal complete portfolio? Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
= () − 3 × 2
= () − 3 × 2
= () − 3 × 2
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Markowitz optimization: 
Q22: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the portfolio weight in STOCK 4 in this optimal complete portfolio? Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q23: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the portfolio weight in STOCK 5 in this optimal complete portfolio? Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q24: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the portfolio weight in the risk-free asset in this optimal complete portfolio? Report your
answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is
-23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Markowitz optimization: 
Q25: Suppose your utility function is . Form an optimal complete portfolio by combining P* with
the risk-free asset. What is the max utility score that you can achieve? Report your answer in decimals to 4 decimal
places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Short Selling Constraint: 
Q26: What is the annualized average return of the GMVP constructed with the short-selling constraint? Report your
answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is
-23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
= () − 3 × 2
= () − 3 × 2
= () − 3 × 2
= () − 3 × 2
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Short Selling Constraint: 
Q27: What is the annualized standard deviation of the GMVP constructed with the short-selling constraint? Report
your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is
-23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Short Selling Constraint: 
Q28: What is the annualized average return of the optimal risky portfolio (P*) constructed with the short-selling
constraint? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Short Selling Constraint: 
Q29: What is the annualized standard deviation of the optimal risky portfolio (P*) constructed with the short-selling
constraint? Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312.
If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Short Selling Constraints:
Q30: Compare the GMVP that you construct without and with short-selling constraints. Make comments on their
performance and explain why short-selling constraints may affect your optimization procedure (No more than 150
words. The more concise, the better. Exceeding the word limit could lead to a mark deduction). (3 marks)
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Short Selling Constraints:
Q31: Compare the P* that you construct without and with short-selling constraints. Make comments on their
performance and explain why short-selling constraints may affect your optimization procedure (No more than 150
words. The more concise, the better. Exceeding the word limit could lead to a mark deduction). (3 marks)
SIM Optimization: 
Q32: What is the lowest beta out of your assigned 5 stocks? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
SIM Optimization: 
Q33: What is the highest beta out of your assigned 5 stocks? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
SIM Optimization: 
Q34: What is the lowest out of your assigned 5 stocks? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
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SIM Optimization: 
Q35: What is the highest out of your assigned 5 stocks? Report your answer in decimals to 4 decimal places. For
example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
SIM Optimization: 
Q36: What is the annualized average return of the Global Minimum Variance Portfolio (GMVP) under SIM?  Report
your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is
-23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
SIM Optimization: 
Q37: What is the annualized standard deviation of the Global Minimum Variance Portfolio (GMVP) under SIM?  Report
your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is
-23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
SIM Optimization: 
Q38: What is the annualized average return of the optimal risky portfolio (P*) under SIM?  Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
SIM Optimization: 
Q39: What is the annualized standard deviation of the optimal risky portfolio (P*) under SIM? Report your answer in
decimals to 4 decimal places. For example, if your answer is 23.123%, report 0.2312. If your answer is -23.123%, report
-0.2312. (1 mark)
Do not use thousands separators.
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SIM Optimization:
Q40: Briey describe and comment on the key differences between the Markowitz and SIM optimization procedure
(hint: You should point out the additional assumption that SIM made on the variance-covariance matrix construction,
and provide your own opinion on whether the assumption ts the data or not based on your data). (No more than 150
words. The more concise, the better. Exceeding the word limit could lead to a mark deduction). (4 marks)
Treynor-Black Model: 
Q41: Explore the potential mispricing opportunities of the 5 individual stocks under the Treynor-Black Model. Form a
new optimal risky portfolio (New P*) by combing the 5 individual stocks and S&P 500, what is the portfolio weight in
STOCK 1 in New P*. Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Treynor-Black Model: 
Q42: Explore the potential mispricing opportunities of the 5 individual stocks under the Treynor-Black Model. Form a
new optimal risky portfolio (New P*) by combing the 5 individual stocks and S&P 500, what is the portfolio weight in
STOCK 2 in New P*. Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
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Treynor-Black Model: 
Q43: Explore the potential mispricing opportunities of the 5 individual stocks under the Treynor-Black Model. Form a
new optimal risky portfolio (New P*) by combing the 5 individual stocks and S&P 500, what is the portfolio weight in
STOCK 3 in New P*. Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Treynor-Black Model: 
Q44: Explore the potential mispricing opportunities of the 5 individual stocks under the Treynor-Black Model. Form a
new optimal risky portfolio (New P*) by combing the 5 individual stocks and S&P 500, what is the portfolio weight in
STOCK 4 in New P*. Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Treynor-Black Model: 
Q45: Explore the potential mispricing opportunities of the 5 individual stocks under the Treynor-Black Model. Form a
new optimal risky portfolio (New P*) by combing the 5 individual stocks and S&P 500, what is the portfolio weight in
STOCK 5 in New P*. Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Treynor-Black Model: 
Q46: Explore the potential mispricing opportunities of the 5 individual stocks under the Treynor-Black Model. Form a
new optimal risky portfolio (New P*) by combing the 5 individual stocks and S&P 500, what is the portfolio weight in
S&P500 in New P*. Report your answer in decimals to 4 decimal places. For example, if your answer is 23.123%, report
0.2312. If your answer is -23.123%, report -0.2312. (1 mark)
Do not use thousands separators.
Kind Reminder:
Have you submitted your Excel via the related link as required for this assessment? Please note that if you only
submit the questionnaire but do not submit the Excel, you will not receive marks on this assessment.
Yes No
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