Mean-variance based investing in DJIA stocks
In this chapter, you will explore portfolio optimization. For the upcoming exercises, you will focus on the Dow Jones Industrial Average (DJIA) stocks. Like the S&P 500 portfolio studied in Chapter 2, the Dow Jones Industrial Average portfolio is an important reference portfolio for the U.S. equity market. It is invested in 30 large publicly owned companies based in the United States.
You will be using the sample of monthly returns from January 1991 until December 2015. These return data are available in the workspace as the variable returns
.
Assume you are an investor who likes high returns and dislikes risk. You are also constrained to be fully invested in the 30 DJIA stocks, and only positive weights are allowed. Which of the following statements is false:
This exercise is part of the course
Introduction to Portfolio Analysis in R
Hands-on interactive exercise
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