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Clipboard Г Font B7 Xv fxv √ Formatting Alignment √ Number: 5 Table Styles v Styles Format v Filter Select Data Cells Editing Add-ins New Group B C 1 Based on the data shown to the right, weights from a Markowitz solution that 2 are already calcualted for you based on the expected semi-annual return 3 shown below, calculate the variance and standard deviation for the portfolio. Expected semi-annual return = 10.1830% 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Please show all of your work in this Excel Worksheet. 18 19 20 21 22 23 24 25 a) Variance= E F G Summary Statistics Table Average Daily Rate Return Stock A 0.002101722 Stock B 0.010116823 Stock C -0.000230729 Stock D -0.000423859 Std. Dev. Variance 0.024753119 0.069060429 0.012004385 0.034633476 Stock E -0.003786326 0.029093713 Semi-annual Avg Return Semi-annual Std Dev 0.000612717 0.004769343 0.000144105 0.001199478 0.264817035 1.274719707 -0.029071831 -0.05340624 0.277853072 0.77520139 0.134748888 0.3887598 0.000846444 -0.477077035 0.32657612 Covariance Matrix Stock A b) StDev= Stock B Stock C Stock D Stock E Portfolio Weights Stock A 0.000595697 0.000896456 Stock B 0.000896456 0.004636861 0.000206176 0.000396944 0.000296867 Stock C 0.000206176 0.00046795 0.00046795 0.000140102 0.000198863 0.001169207 0.000198863 0.001166159 0.001046777 0.000149676 0.00021667 Stock D 0.000396944 Stock E 0.000296867 0.001169207 0.001046777 0.000149676 0.00021667 0.000822932 Weight w1 0.044467 w2 0.025427 w3 1.207212 w4 -0.093144 w5 -0.183962

Clipboard Г Font B7 Xv fxv √ Formatting Alignment √ Number: 5 Table Styles v Styles Format v Filter Select Data Cells Editing Add-ins New Group B C 1 Based on the data shown to the right, weights from a Markowitz solution that 2 are already calcualted for you based on the expected semi-annual return 3 shown below, calculate the variance and standard deviation for the portfolio. Expected semi-annual return = 10.1830% 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Please show all of your work in this Excel Worksheet. 18 19 20 21 22 23 24 25 a) Variance= E F G Summary Statistics Table Average Daily Rate Return Stock A 0.002101722 Stock B 0.010116823 Stock C -0.000230729 Stock D -0.000423859 Std. Dev. Variance 0.024753119 0.069060429 0.012004385 0.034633476 Stock E -0.003786326 0.029093713 Semi-annual Avg Return Semi-annual Std Dev 0.000612717 0.004769343 0.000144105 0.001199478 0.264817035 1.274719707 -0.029071831 -0.05340624 0.277853072 0.77520139 0.134748888 0.3887598 0.000846444 -0.477077035 0.32657612 Covariance Matrix Stock A b) StDev= Stock B Stock C Stock D Stock E Portfolio Weights Stock A 0.000595697 0.000896456 Stock B 0.000896456 0.004636861 0.000206176 0.000396944 0.000296867 Stock C 0.000206176 0.00046795 0.00046795 0.000140102 0.000198863 0.001169207 0.000198863 0.001166159 0.001046777 0.000149676 0.00021667 Stock D 0.000396944 Stock E 0.000296867 0.001169207 0.001046777 0.000149676 0.00021667 0.000822932 Weight w1 0.044467 w2 0.025427 w3 1.207212 w4 -0.093144 w5 -0.183962

Intermediate Financial Management (MindTap Course List)
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 2P: APT An analyst has modeled the stock of Crisp Trucking using a two-factor APT model. The risk-free...
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Clipboard Г Font B7 Xv fxv √ Formatting Alignment √ Number: 5 Table Styles v Styles Format v Filter Select Data Cells Editing Add-ins New Group B C 1 Based on the data shown to the right, weights from a Markowitz solution that 2 are already calcualted for you based on the expected semi-annual return 3 shown below, calculate the variance and standard deviation for the portfolio. Expected semi-annual return = 10.1830% 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Please show all of your work in this Excel Worksheet. 18 19 20 21 22 23 24 25 a) Variance= E F G Summary Statistics Table Average Daily Rate Return Stock A 0.002101722 Stock B 0.010116823 Stock C -0.000230729 Stock D -0.000423859 Std. Dev. Variance 0.024753119 0.069060429 0.012004385 0.034633476 Stock E -0.003786326 0.029093713 Semi-annual Avg Return Semi-annual Std Dev 0.000612717 0.004769343 0.000144105 0.001199478 0.264817035 1.274719707 -0.029071831 -0.05340624 0.277853072 0.77520139 0.134748888 0.3887598 0.000846444 -0.477077035 0.32657612 Covariance Matrix Stock A b) StDev= Stock B Stock C Stock D Stock E Portfolio Weights Stock A 0.000595697 0.000896456 Stock B 0.000896456 0.004636861 0.000206176 0.000396944 0.000296867 Stock C 0.000206176 0.00046795 0.00046795 0.000140102 0.000198863 0.001169207 0.000198863 0.001166159 0.001046777 0.000149676 0.00021667 Stock D 0.000396944 Stock E 0.000296867 0.001169207 0.001046777 0.000149676 0.00021667 0.000822932 Weight w1 0.044467 w2 0.025427 w3 1.207212 w4 -0.093144 w5 -0.183962
Transcribed Image Text:Clipboard Г Font B7 Xv fxv √ Formatting Alignment √ Number: 5 Table Styles v Styles Format v Filter Select Data Cells Editing Add-ins New Group B C 1 Based on the data shown to the right, weights from a Markowitz solution that 2 are already calcualted for you based on the expected semi-annual return 3 shown below, calculate the variance and standard deviation for the portfolio. Expected semi-annual return = 10.1830% 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Please show all of your work in this Excel Worksheet. 18 19 20 21 22 23 24 25 a) Variance= E F G Summary Statistics Table Average Daily Rate Return Stock A 0.002101722 Stock B 0.010116823 Stock C -0.000230729 Stock D -0.000423859 Std. Dev. Variance 0.024753119 0.069060429 0.012004385 0.034633476 Stock E -0.003786326 0.029093713 Semi-annual Avg Return Semi-annual Std Dev 0.000612717 0.004769343 0.000144105 0.001199478 0.264817035 1.274719707 -0.029071831 -0.05340624 0.277853072 0.77520139 0.134748888 0.3887598 0.000846444 -0.477077035 0.32657612 Covariance Matrix Stock A b) StDev= Stock B Stock C Stock D Stock E Portfolio Weights Stock A 0.000595697 0.000896456 Stock B 0.000896456 0.004636861 0.000206176 0.000396944 0.000296867 Stock C 0.000206176 0.00046795 0.00046795 0.000140102 0.000198863 0.001169207 0.000198863 0.001166159 0.001046777 0.000149676 0.00021667 Stock D 0.000396944 Stock E 0.000296867 0.001169207 0.001046777 0.000149676 0.00021667 0.000822932 Weight w1 0.044467 w2 0.025427 w3 1.207212 w4 -0.093144 w5 -0.183962
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