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
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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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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