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Assignment 5

Finance assignment answers

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irine
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37 views2 pages

Assignment 5

Finance assignment answers

Uploaded by

irine
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Company A Company B

7.00% 15.00%
18.00% -14.00%
-22.00% -15.00%
-14.00% 2.00%
10.00% -18.00%
26.00% 42.00%
-10.00% 30.00%
-3.00% -32.00%
38.00% -28.00%
Average return 5.56% -2.00%
Return standard deviation 19.70% 26.00%

Requirement (2)

Variance-covariance matrix
A B
A 0.0388 (0.0013)
B (0.0013) 0.0676

Portfolio weights 50.00% 50.00%

Portfolio return 1.78%


Portfolio return standard deviation 16.12%
Sharpe ratio (0.1255)

Requirement (3)

Variance-covariance matrix
A B
A 0.0388 (0.0013)
B (0.0013) 0.0676
C 0.0477 (0.0470)

Portfolio weights 33.33% 33.33%

Portfolio return 2.85%


Portfolio return standard deviation 16.76%
Sharpe ratio (0.0566)

Requirement (4)

Portfolio risk will decrease if more and more randomly selected stocks are added.
Company C
-54.00%
15.00%
7.00%
-28.00%
40.00%
17.00%
-23.00%
-4.00%
75.00%
5.00%
38.42%

C
0.0477
(0.0470)
0.1476

33.33%

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