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  3. Intro to Computational Finance with R

Exercise

Adding T-bills to your portfolios

As seen in the lectures, you can potentially increase the performance of your portfolio significantly by investing in T-bills as well.

Use an annual risk-free rate of 3% per year for the T-billand and create a set of portfolios with the T-bills and the Boeing stock as underlying assets. Again, you are allowed to take short positions in both assets.

Instructions

100 XP
  • Assign to t_bill_rate the annual risk-free rate of 3%.
  • Calculate the expected portfolio return and portfolio variance for this set of portfolios.
  • Add these new portfolio combinations to the plot that you constructed in the previous exercise with the help of points. For the color code argument use col = "blue", for the type use type = "b".