1.Using all 20 stocks (four industries and five stocks in each industry), please build a
portfolio that maximizes your Sharpe ratio assuming that the monthly risk-free rate is 0.25%.
What is the weighted ESG score (out of 100) of this portfolio?
2.Please a portfolio that maximizes your Sharpe ratio while the weighted average ESG
score and the weighted average E score are at least 80.
3. Please a portfolio that maximizes your Sharpe ratio while the weighted average ESG
score and the weighted average E score are at least 82, and no stock’s weight is more than 12%.
4. Please a portfolio that maximizes your Sharpe ratio while the weighted average ESG
score is at least 82 and the weighted biodiversity score is 1 (only biodiversity protectors).
Rules:
• If you use any assumptions in your solutions, state it clearly wherever it applies.
• Please SHOW YOUR WORK to earn full credit! (For example, if you are using “Solver” in MS Excel,
please share the print screen)
• You can answer these questions by using MS Excel.
• Use of AI apps (e.g., ChatGPT) is strictly forbidden!
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