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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

  1. Calculate the average log returns and standard deviation for each security
  2. 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
  3. Calculate the portfolio risk
  4. Try to replicate your analysis in Excel

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