Clipboard ГУ Font Ty Alignment B7 Xfx v A ГУ Number K] 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. 4 Expected semi-annual return = 10.1830% 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 Formatting Table Styles く Format v Filter Select Data Styles Cells Editing Add-ins D E F Summary Statistics Table G H New Group Average Daily Rate Return Std. Dev. Stock A 0.002101722 Stock B 0.010116823 Stock C -0.000230729 Stock D -0.000423859 Stock E -0.003786326 Variance a) Variance = Semi-annual Avg Return Semi-annual Std Dev 0.024753119 0.000612717 0.004769343 0.000144105 0.001199478 0.264817035 1.274719707 -0.029071831 -0.05340624 0.277853072 0.77520139 0.134748888 0.3887598 0.069060429 0.012004385 0.034633476 0.029093713 0.000846444 -0.477077035 0.32657612 Covariance Matrix Stock A b) StDev= Stock B Stock C Stock D Stock E Stock A 0.000595697 Stock B 0.000896456 Stock C Stock D 0.000206176 0.000396944 0.000896456 0.004636861 0.00046795 0.001169207 0.000206176 0.00046795 0.000140102 0.000396944 0.001169207 0.000198863 0.000296867 0.001046777 0.000149676 Stock E 0.000296867 0.001046777 0.000198863 0.000149676 0.001166159 0.00021667 0.00021667 0.000822932 Portfolio Weights Weight w1 0.044467 w2 0.025427 w3 1.207212 w4 -0.093144 w5 -0.183962
Clipboard ГУ Font Ty Alignment B7 Xfx v A ГУ Number K] 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. 4 Expected semi-annual return = 10.1830% 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 Formatting Table Styles く Format v Filter Select Data Styles Cells Editing Add-ins D E F Summary Statistics Table G H New Group Average Daily Rate Return Std. Dev. Stock A 0.002101722 Stock B 0.010116823 Stock C -0.000230729 Stock D -0.000423859 Stock E -0.003786326 Variance a) Variance = Semi-annual Avg Return Semi-annual Std Dev 0.024753119 0.000612717 0.004769343 0.000144105 0.001199478 0.264817035 1.274719707 -0.029071831 -0.05340624 0.277853072 0.77520139 0.134748888 0.3887598 0.069060429 0.012004385 0.034633476 0.029093713 0.000846444 -0.477077035 0.32657612 Covariance Matrix Stock A b) StDev= Stock B Stock C Stock D Stock E Stock A 0.000595697 Stock B 0.000896456 Stock C Stock D 0.000206176 0.000396944 0.000896456 0.004636861 0.00046795 0.001169207 0.000206176 0.00046795 0.000140102 0.000396944 0.001169207 0.000198863 0.000296867 0.001046777 0.000149676 Stock E 0.000296867 0.001046777 0.000198863 0.000149676 0.001166159 0.00021667 0.00021667 0.000822932 Portfolio Weights Weight w1 0.044467 w2 0.025427 w3 1.207212 w4 -0.093144 w5 -0.183962
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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Don't use
![Clipboard ГУ
Font
Ty
Alignment
B7
Xfx v
A
ГУ
Number
K]
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.
4
Expected semi-annual return = 10.1830%
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
Formatting Table
Styles
く
Format
v
Filter Select
Data
Styles
Cells
Editing
Add-ins
D
E
F
Summary Statistics Table
G
H
New Group
Average Daily Rate Return
Std. Dev.
Stock A
0.002101722
Stock B
0.010116823
Stock C
-0.000230729
Stock D
-0.000423859
Stock E
-0.003786326
Variance
a)
Variance =
Semi-annual Avg Return
Semi-annual Std Dev
0.024753119
0.000612717 0.004769343 0.000144105 0.001199478
0.264817035 1.274719707 -0.029071831 -0.05340624
0.277853072 0.77520139 0.134748888
0.3887598
0.069060429 0.012004385 0.034633476
0.029093713
0.000846444
-0.477077035
0.32657612
Covariance Matrix
Stock A
b)
StDev=
Stock B
Stock C
Stock D
Stock E
Stock A
0.000595697
Stock B
0.000896456
Stock C
Stock D
0.000206176 0.000396944
0.000896456 0.004636861 0.00046795 0.001169207
0.000206176 0.00046795 0.000140102
0.000396944 0.001169207 0.000198863
0.000296867 0.001046777 0.000149676
Stock E
0.000296867
0.001046777
0.000198863 0.000149676
0.001166159 0.00021667
0.00021667 0.000822932
Portfolio Weights
Weight
w1
0.044467
w2
0.025427
w3
1.207212
w4
-0.093144
w5
-0.183962](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Ff4bf9040-07ab-44c5-b7f6-99f89f9d88e8%2F08874ad9-4ec3-493d-a1d8-f4b90768f162%2Ftcr9b5u_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Clipboard ГУ
Font
Ty
Alignment
B7
Xfx v
A
ГУ
Number
K]
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.
4
Expected semi-annual return = 10.1830%
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
Formatting Table
Styles
く
Format
v
Filter Select
Data
Styles
Cells
Editing
Add-ins
D
E
F
Summary Statistics Table
G
H
New Group
Average Daily Rate Return
Std. Dev.
Stock A
0.002101722
Stock B
0.010116823
Stock C
-0.000230729
Stock D
-0.000423859
Stock E
-0.003786326
Variance
a)
Variance =
Semi-annual Avg Return
Semi-annual Std Dev
0.024753119
0.000612717 0.004769343 0.000144105 0.001199478
0.264817035 1.274719707 -0.029071831 -0.05340624
0.277853072 0.77520139 0.134748888
0.3887598
0.069060429 0.012004385 0.034633476
0.029093713
0.000846444
-0.477077035
0.32657612
Covariance Matrix
Stock A
b)
StDev=
Stock B
Stock C
Stock D
Stock E
Stock A
0.000595697
Stock B
0.000896456
Stock C
Stock D
0.000206176 0.000396944
0.000896456 0.004636861 0.00046795 0.001169207
0.000206176 0.00046795 0.000140102
0.000396944 0.001169207 0.000198863
0.000296867 0.001046777 0.000149676
Stock E
0.000296867
0.001046777
0.000198863 0.000149676
0.001166159 0.00021667
0.00021667 0.000822932
Portfolio Weights
Weight
w1
0.044467
w2
0.025427
w3
1.207212
w4
-0.093144
w5
-0.183962
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