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1. Assume you have the following information on the monthly price of three securities, A, B and C: date A B C Jan-20 113 3209
1. Assume you have the following information on the monthly price of three securities, A, B and C:
date | A | B | C |
Jan-20 | 113 | 3209 | 8.79 |
Feb-20 | 109 | 3215 | 14.81 |
Mar-20 | 110 | 3297 | 9.71 |
Apr-20 | 113 | 3087 | 14.86 |
May-20 | 114 | 3101 | 8.60 |
Jun-20 | 101 | 3066 | 11.04 |
Jul-20 | 120 | 3284 | 13.53 |
Aug-20 | 123 | 3111 | 9.10 |
Sep-20 | 116 | 3133 | 8.89 |
Oct-20 | 114 | 3150 | 13.32 |
Nov-20 | 112 | 3043 | 10.96 |
- Calculate the average log returns and standard deviation for each security
- Assuming the three securities form a portfolio with the following weights: A = 30%, B=50% and C=20%, calculate the average return on the portfolio
- Calculate the portfolio risk
- Try to replicate your analysis in Excel
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