A wealthy investor, David, approaches your consulting firm seeking for investment advices. David plans to invest his RM1 million in the following 16 stocks traded on Bursa Malaysia: 1) 5) 6) 7) 8) Axiata Groups CIMB Group Holdings Digi.com Genting Malaysia Hong Leong Bank IOI Corporation Malayan Banking Maxis MISC Petronas Gas Public Bank Sime Darby Telekom Malaysia Tenaga Nasional UMW Holdings YTL Corporation 10) 11) 12) 13) 14) 15) 16) Suppose David is considering allocating all his RM1 million in the 16 stocks equally. He would like to know the expected return and risk for this 16-stock portfolio. What is your advice if David expects a minimum return of 5%, but won't tolerate risk exceeding 3% (in standard deviation)? Your analysis involves: (i) calculate the monthly return for each stock; (ii) calculate the mean of the monthly return for each stock; (iii) calculate the variance of the monthly return for each stock; construct the variance-covariance matrix; compute the 16-stock portfolio expected return (vi) compute the 16-stock portfolio risk (iv) Monthly Closing Prices AXIATA CIMB GROUP HOLDINGS DIGI.COM GENTING MALAYSIA HONG LEONG BANK IOI MALAYAN BANKING MAXIS MISC BHD. PETRONAS GAS PUBLIC BANK SIME DARBY TELEKOM MALAYSIA TENAGA UMW NASIONAL HOLDINGS GROUP YTL 3.88 3.96 4.02 4.06 4.04 3.83 4.04 3.91 8.58 8.20 8.75 8.87 9.20 9.14 9.69 9.74 8.63 8.75 8.70 9.74 9.68 9.89 4.00 4.25 4.44 4.81 5.28 3.92 3.84 3.69 3.60 3.37 3.53 3.50 3.59 3.42 3.55 3.67 3.70 9.83 9.81 9.80 9.78 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 3.62 3.76 3.90 5.14 4.67 5.17 5.20 5.31 5.37 5.47 5.86 5.99 6.50 6.53 5.92 6.59 6.30 6.40 6.60 6.77 6.75 6.63 6.79 6.74 6.88 6.87 6.72 6.90 6.56 6.55 6.67 6.73 6.93 6.97 6.96 6.93 7.00 7.05 7.06 7.05 7.20 7.16 7.08 6.74 6.58 6.40 6.37 6.14 5.80 6.17 6.13 6.41 7.44 6.91 7.16 7.69 7.41 7.50 7.57 7.85 7.79 7.50 7.63 7.47 7.63 7.21 7.20 7.63 7.74 8.28 8.28 7.87 7.28 7.52 7.47 7.58 7.62 6.92 7.16 7.15 7.51 7.34 7.32 7.00 7.38 7.03 6.49 5.83 5.56 5.50 5.95 6.22 5.90 5.67 5.47 5.38 5.00 4.46 4.61 4.50 4.54 5.31 4.83 5.29 4.92 4.57 4.63 4.64 4.75 4.76 4.65 4.70 4.86 5.00 4.87 4.96 4.69 5.15 5.39 5.54 5.42 5.73 5.69 5.73 5.85 6.19 6.30 6.17 6.41 6.35 6.30 6.01 5.61 5.36 5.40 5.23 5.55 5.26 5.00 5.40 10.54 10.98 11.70 12.20 11.81 11.87 12.02 13.20 12.99 12.95 14.19 14.17 14.29 13.76 14.09 13.98 13.98 13.71 13.43 13.34 13.63 13.51 13.80 13.65 13.92 13.63 13.71 13.67 13.53 13.42 13.34 13.65 13.92 14.13 14.13 13.82 13.51 13.55 13.88 13.78 13.61 13.20 12.95 13.13 12.64 12.68 13.51 13.56 13.44 4.35 4.37 4.37 4.32 4.22 4.25 4.20 4.32 4.16 4.03 4.09 4.01 4.12 4.02 3.96 3.79 4.07 4.12 4.40 4.42 4.37 4.34 4.40 4.56 4.71 4.20 4.61 4.80 5.00 4.93 5.25 5.00 4.78 4.81 4.89 4.82 4.80 4.71 4.71 4.59 4.34 3.99 4.06 4.24 4.00 4.07 4.26 4.35 4.46 3.89 4.16 4.21 4.22 4.32 4.24 4.38 4.36 4.35 4.20 4.22 4.07 4.20 4.40 4.51 4.18 4.30 4.22 4.07 4.06 4.11 4.23 4.30 4.25 4.20 4.27 3.96 4.15 4.30 4.40 4.38 5.48 5.71 5.92 6.09 6.12 6.19 6.39 6.41 7.04 6.92 6.96 6.43 6.65 6.37 6.37 6.53 6.76 6.76 6.87 7.11 6.84 7.00 7.19 7.03 7.27 6.97 6.97 6.96 6.95 6.57 6.75 6.76 6.55 6.48 6.74 6.93 6.85 7.10 7.05 7.19 6.94 6.89 6.37 6.67 6.57 6.55 6.59 6.56 6.80 8.76 9.15 9.01 9.03 9.05 9.20 8.88 9.15 9.35 9.62 10.18 10.40 10.26 10.00 9.84 9.76 9.78 9.94 9.63 9.78 9.68 9.90 9.88 9.83 9.88 10.10 9.96 9.70 9.46 9.17 8.72 9.20 9.33 9.21 9.03 9.14 9.20 8.76 8.56 8.26 8.32 8.40 5.47 5.93 5.62 5.38 4.80 4.03 4.61 4.52 4.26 4.25 4.24 4.02 4.30 4.45 5.27 5.37 4.36 4.88 5.10 5.44 4.72 5.12 5.11 5.49 5.70 6.00 6.35 6.90 6.51 6.18 6.50 6.52 6.88 6.75 6.86 7.31 7.22 7.75 8.42 8.49 9.15 8.30 7.72 7.80 8.10 8.80 9.03 9.24 9.37 15.20 15.68 16.80 16.84 16.78 17.20 18.00 18.50 19.38 19.00 19.60 18.40 19.52 18.56 18.32 19.00 19.72 21.24 20.90 20.84 20.14 22.00 24.52 23.86 24.28 23.38 23.60 23.80 23.50 24.50 24.50 23.48 22.80 22.92 22.48 22.72 22.16 22.20 23.06 23.02 22.72 21.90 21.26 22.08 21.32 21.96 22.98 22.92 22.70 12.97 13.12 13.24 13.22 13.28 13.33 13.33 13.92 13.88 13.94 15.41 15.04 15.78 15.04 15.62 15.76 15.91 16.44 16.42 16.73 16.53 17.19 17.73 17.81 18.80 18.49 18.49 18.57 19.52 20.93 19.58 19.78 19.28 18.90 18.54 18.58 1.39 1.41 1.64 1.68 1.52 1.73 2.02 1.86 1.81 1.72 1.75 1.77 1.90 1.65 1.65 1.63 1.64 1.69 1.66 1.67 1.55 1.54 1.65 1.62 1.62 1.54 1.58 4.96 4.80 5.19 5.32 5.39 5.39 5.65 5.65 6.08 6.19 5.98 5.47 6.04 5.55 5.32 5.39 5.52 5.49 5.40 5.27 5.41 5.24 5.24 5.14 5.55 5.51 5.67 5.89 6.20 6.18 6.35 6.24 6.36 6.60 7.20 7.08 6.88 6.99 7.12 7.27 7.41 7.28 6.54 6.55 6.49 6.68 6.66 6.51 6.78 8.97 9.52 9.30 9.21 9.27 9.44 9.42 9.58 9.48 9.39 9.50 9.53 9.65 9.52 8.99 9.11 9.31 9.44 9.55 9.67 9.50 9.46 9.15 9.68 9.68 9.19 9.40 9.33 9.27 9.06 8.32 8.52 8.72 7.45 7.79 8.36 7.91 7.75 5.90 6.00 6.28 6.43 6.43 6.67 6.74 6.75 6.84 6.82 6.95 6.94 6.94 7.00 6.94 7.22 7.85 8.35 8.29 8.89 8.73 9.03 9.43 9.86 11.38 11.80 12.00 11.96 11.90 12.06 12.18 12.42 12.38 12.38 13.36 14.26 13.80 14.50 14.72 14.36 14.36 13.36 12.64 12.20 11.18 12.02 12.66 13.36 13.32 7.00 6.91 7.15 7.30 7.87 7.99 9.13 9.47 10.20 10.00 9.98 10.62 11.94 12.14 12.80 13.34 14.30 14.42 14.60 13.86 12.58 11.82 12.80 12.44 12.06 11.84 11.80 10.98 10.76 10.80 10.92 11.70 12.36 12.26 11.68 11.28 10.96 10.90 11.08 10.84 10.64 10.72 10.14 10.00 8.50 7.52 8.22 7.98 7.87 1.53 1.61 1.63 1.62 1.57 1.62 1.68 18.30 18.14 18.32 18.88 1.66 1.58 1.59 1.76 1.65 19.48 18.50 18.72 19.00 18.00 17.52 18.08 18.38 18.52 1.67 1.67 1.59 1.55 1.58 1.56 1.60 1.51 1.58 1.57 A wealthy investor, David, approaches your consulting firm seeking for investment advices. David plans to invest his RM1 million in the following 16 stocks traded on Bursa Malaysia: 1) 5) 6) 7) 8) Axiata Groups CIMB Group Holdings Digi.com Genting Malaysia Hong Leong Bank IOI Corporation Malayan Banking Maxis MISC Petronas Gas Public Bank Sime Darby Telekom Malaysia Tenaga Nasional UMW Holdings YTL Corporation 10) 11) 12) 13) 14) 15) 16) Suppose David is considering allocating all his RM1 million in the 16 stocks equally. He would like to know the expected return and risk for this 16-stock portfolio. What is your advice if David expects a minimum return of 5%, but won't tolerate risk exceeding 3% (in standard deviation)? Your analysis involves: (i) calculate the monthly return for each stock; (ii) calculate the mean of the monthly return for each stock; (iii) calculate the variance of the monthly return for each stock; construct the variance-covariance matrix; compute the 16-stock portfolio expected return (vi) compute the 16-stock portfolio risk (iv) Monthly Closing Prices AXIATA CIMB GROUP HOLDINGS DIGI.COM GENTING MALAYSIA HONG LEONG BANK IOI MALAYAN BANKING MAXIS MISC BHD. PETRONAS GAS PUBLIC BANK SIME DARBY TELEKOM MALAYSIA TENAGA UMW NASIONAL HOLDINGS GROUP YTL 3.88 3.96 4.02 4.06 4.04 3.83 4.04 3.91 8.58 8.20 8.75 8.87 9.20 9.14 9.69 9.74 8.63 8.75 8.70 9.74 9.68 9.89 4.00 4.25 4.44 4.81 5.28 3.92 3.84 3.69 3.60 3.37 3.53 3.50 3.59 3.42 3.55 3.67 3.70 9.83 9.81 9.80 9.78 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 3.62 3.76 3.90 5.14 4.67 5.17 5.20 5.31 5.37 5.47 5.86 5.99 6.50 6.53 5.92 6.59 6.30 6.40 6.60 6.77 6.75 6.63 6.79 6.74 6.88 6.87 6.72 6.90 6.56 6.55 6.67 6.73 6.93 6.97 6.96 6.93 7.00 7.05 7.06 7.05 7.20 7.16 7.08 6.74 6.58 6.40 6.37 6.14 5.80 6.17 6.13 6.41 7.44 6.91 7.16 7.69 7.41 7.50 7.57 7.85 7.79 7.50 7.63 7.47 7.63 7.21 7.20 7.63 7.74 8.28 8.28 7.87 7.28 7.52 7.47 7.58 7.62 6.92 7.16 7.15 7.51 7.34 7.32 7.00 7.38 7.03 6.49 5.83 5.56 5.50 5.95 6.22 5.90 5.67 5.47 5.38 5.00 4.46 4.61 4.50 4.54 5.31 4.83 5.29 4.92 4.57 4.63 4.64 4.75 4.76 4.65 4.70 4.86 5.00 4.87 4.96 4.69 5.15 5.39 5.54 5.42 5.73 5.69 5.73 5.85 6.19 6.30 6.17 6.41 6.35 6.30 6.01 5.61 5.36 5.40 5.23 5.55 5.26 5.00 5.40 10.54 10.98 11.70 12.20 11.81 11.87 12.02 13.20 12.99 12.95 14.19 14.17 14.29 13.76 14.09 13.98 13.98 13.71 13.43 13.34 13.63 13.51 13.80 13.65 13.92 13.63 13.71 13.67 13.53 13.42 13.34 13.65 13.92 14.13 14.13 13.82 13.51 13.55 13.88 13.78 13.61 13.20 12.95 13.13 12.64 12.68 13.51 13.56 13.44 4.35 4.37 4.37 4.32 4.22 4.25 4.20 4.32 4.16 4.03 4.09 4.01 4.12 4.02 3.96 3.79 4.07 4.12 4.40 4.42 4.37 4.34 4.40 4.56 4.71 4.20 4.61 4.80 5.00 4.93 5.25 5.00 4.78 4.81 4.89 4.82 4.80 4.71 4.71 4.59 4.34 3.99 4.06 4.24 4.00 4.07 4.26 4.35 4.46 3.89 4.16 4.21 4.22 4.32 4.24 4.38 4.36 4.35 4.20 4.22 4.07 4.20 4.40 4.51 4.18 4.30 4.22 4.07 4.06 4.11 4.23 4.30 4.25 4.20 4.27 3.96 4.15 4.30 4.40 4.38 5.48 5.71 5.92 6.09 6.12 6.19 6.39 6.41 7.04 6.92 6.96 6.43 6.65 6.37 6.37 6.53 6.76 6.76 6.87 7.11 6.84 7.00 7.19 7.03 7.27 6.97 6.97 6.96 6.95 6.57 6.75 6.76 6.55 6.48 6.74 6.93 6.85 7.10 7.05 7.19 6.94 6.89 6.37 6.67 6.57 6.55 6.59 6.56 6.80 8.76 9.15 9.01 9.03 9.05 9.20 8.88 9.15 9.35 9.62 10.18 10.40 10.26 10.00 9.84 9.76 9.78 9.94 9.63 9.78 9.68 9.90 9.88 9.83 9.88 10.10 9.96 9.70 9.46 9.17 8.72 9.20 9.33 9.21 9.03 9.14 9.20 8.76 8.56 8.26 8.32 8.40 5.47 5.93 5.62 5.38 4.80 4.03 4.61 4.52 4.26 4.25 4.24 4.02 4.30 4.45 5.27 5.37 4.36 4.88 5.10 5.44 4.72 5.12 5.11 5.49 5.70 6.00 6.35 6.90 6.51 6.18 6.50 6.52 6.88 6.75 6.86 7.31 7.22 7.75 8.42 8.49 9.15 8.30 7.72 7.80 8.10 8.80 9.03 9.24 9.37 15.20 15.68 16.80 16.84 16.78 17.20 18.00 18.50 19.38 19.00 19.60 18.40 19.52 18.56 18.32 19.00 19.72 21.24 20.90 20.84 20.14 22.00 24.52 23.86 24.28 23.38 23.60 23.80 23.50 24.50 24.50 23.48 22.80 22.92 22.48 22.72 22.16 22.20 23.06 23.02 22.72 21.90 21.26 22.08 21.32 21.96 22.98 22.92 22.70 12.97 13.12 13.24 13.22 13.28 13.33 13.33 13.92 13.88 13.94 15.41 15.04 15.78 15.04 15.62 15.76 15.91 16.44 16.42 16.73 16.53 17.19 17.73 17.81 18.80 18.49 18.49 18.57 19.52 20.93 19.58 19.78 19.28 18.90 18.54 18.58 1.39 1.41 1.64 1.68 1.52 1.73 2.02 1.86 1.81 1.72 1.75 1.77 1.90 1.65 1.65 1.63 1.64 1.69 1.66 1.67 1.55 1.54 1.65 1.62 1.62 1.54 1.58 4.96 4.80 5.19 5.32 5.39 5.39 5.65 5.65 6.08 6.19 5.98 5.47 6.04 5.55 5.32 5.39 5.52 5.49 5.40 5.27 5.41 5.24 5.24 5.14 5.55 5.51 5.67 5.89 6.20 6.18 6.35 6.24 6.36 6.60 7.20 7.08 6.88 6.99 7.12 7.27 7.41 7.28 6.54 6.55 6.49 6.68 6.66 6.51 6.78 8.97 9.52 9.30 9.21 9.27 9.44 9.42 9.58 9.48 9.39 9.50 9.53 9.65 9.52 8.99 9.11 9.31 9.44 9.55 9.67 9.50 9.46 9.15 9.68 9.68 9.19 9.40 9.33 9.27 9.06 8.32 8.52 8.72 7.45 7.79 8.36 7.91 7.75 5.90 6.00 6.28 6.43 6.43 6.67 6.74 6.75 6.84 6.82 6.95 6.94 6.94 7.00 6.94 7.22 7.85 8.35 8.29 8.89 8.73 9.03 9.43 9.86 11.38 11.80 12.00 11.96 11.90 12.06 12.18 12.42 12.38 12.38 13.36 14.26 13.80 14.50 14.72 14.36 14.36 13.36 12.64 12.20 11.18 12.02 12.66 13.36 13.32 7.00 6.91 7.15 7.30 7.87 7.99 9.13 9.47 10.20 10.00 9.98 10.62 11.94 12.14 12.80 13.34 14.30 14.42 14.60 13.86 12.58 11.82 12.80 12.44 12.06 11.84 11.80 10.98 10.76 10.80 10.92 11.70 12.36 12.26 11.68 11.28 10.96 10.90 11.08 10.84 10.64 10.72 10.14 10.00 8.50 7.52 8.22 7.98 7.87 1.53 1.61 1.63 1.62 1.57 1.62 1.68 18.30 18.14 18.32 18.88 1.66 1.58 1.59 1.76 1.65 19.48 18.50 18.72 19.00 18.00 17.52 18.08 18.38 18.52 1.67 1.67 1.59 1.55 1.58 1.56 1.60 1.51 1.58 1.57
