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Based on the discrete returns calculation, compute the weekly rate of return and the variance of an equally weighted portfolio formed form the three stocks.
Based on the discrete returns calculation, compute the weekly rate of return and the variance of an equally weighted portfolio formed form the three stocks. Make use of matrix algebra in your calculations
Stocks Date CommonWealth Bank Qantas Telstra 1/4/2016 79.42 4.06 12/28/2015 85.53 4.09 12/21/2015 83.32 4 12/14/2015 81.57 3.91 12/7/2015 78.95 3.83 11/30/2015 80.22 3.67 11/23/2015 80.12 3.78 11/16/2015 79.83 3.8 11/9/2015 75.76 3.61 11/2/2015 76.59 3.71 10/26/2015 76.73 3.95 10/19/2015 77.35 4.11076 10/12/2015 76.55 4.164 10/5/2015 75.53 3.86581 9/28/2015 73.39 4.06816 9/21/2015 71.44 3.92971 9/14/2015 75.83 3.86581 9/7/2015 75.13 3.76997 8/31/2015 72.15 3.69542 8/24/2015 76.36 3.39 8/17/2015 75.59 3.45 8/10/2015 81.6775 3.72 8/3/2015 80.8619 3.77 7/27/2015 87.0882 3.75 7/20/2015 85.3476 3.69 7/13/2015 87.5059 3.63 7/6/2015 85.3277 3.33 7/3/2015 86.193 3.2 ASX300 5.3 4990.799805 5.61 5295.899902 5.46 5207.600098 5.48 5106.700195 5.2 5029.5 5.41 5151.600098 5.4 5202.600098 5.41 5256.100098 5.14 5051.299805 5.31 5215 5.4 5239.399902 5.58 5351.600098 5.44 5268.200195 5.64 5279.700195 5.62 5052 5.67 5042.100098 5.65 5170.5 5.55 5071.100098 5.61 5040.600098 5.82 5263.600098 6.07 5214.600098 6.08 5356.5 6.29 5474.799805 6.49 5699.200195 6.36 5566.100098 6.42 5670.100098 6.21 5492 6.13 5538.299805 Discrete rate of Return CBA QAN TLS -7.14% -0.73% 2.65% 2.25% 2.15% 2.30% 3.32% 2.09% -1.58% 4.36% 0.12% -2.91% 0.36% -0.53% 5.37% 5.26% -1.08% -2.70% -0.18% -6.08% -0.80% -3.91% 1.05% -1.28% 1.35% 7.71% 2.92% -4.97% 2.73% 3.52% -5.79% 1.65% 0.93% 2.54% 4.13% 2.02% -5.51% 9.01% 1.02% -1.74% -7.45% -7.26% 1.01% -1.33% -7.15% 0.53% 2.04% 1.63% -2.47% 1.65% 2.55% 9.01% -1.00% 4.06% ASX300 -5.53% -5.76% 2.75% 1.70% -0.36% 1.98% 5.38% 1.53% -3.88% -2.37% 0.19% -0.98% -0.18% -1.02% 5.25% 4.05% -3.20% -3.14% -1.67% -0.47% -3.23% -2.10% 2.57% 1.58% -3.55% -0.22% 0.36% 4.51% -0.88% 0.20% 0.35% -2.48% 1.80% 1.96% -1.07% 0.61% -3.61% -4.24% -4.12% 0.94% -0.16% -2.65% -3.34% -2.16% -3.08% -3.94% 2.04% 2.39% -0.93% -1.83% 3.38% 3.24% 1.31% -0.84% Continuously compounded rate of return -7.86% 26.88% -13.54% -9.89% Arithmatic mean -0.24% 0.97% -0.50% -0.35% Geomatric average -0.00302648 0.008854982 -0.00537395 -0.0038478 Variance of return Covariance Cov(CBA,ASX) Cov(QAN,ASX) Cov(TLS,ASX) 0.00123219 0.001697485 0.000815457 0.00065594 0.000760024 .000157119 .000531011 Correlation Corr(CBA,ASX) Corr(QAN,ASX) Corr(TLS,ASX) .845391665 0.148900012 0.726059331Step by Step Solution
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