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Posted on Jul 10, 2024

Consider the daily quotes for three stocks traded from Jan 2 nd , 2018 until December 30 th , 2019. Compute the following for the

Consider the daily quotes for three stocks traded from Jan 2^nd, 2018 until December 30^th, 2019. Compute the following for the three stocks:

Daily returns.
Expected return, variance and risk.
Variance-covariance matrix.
Mean, variance and risk for the 10 portfolios.
Annual mean and annual risk for the 10 portfolios.
Illustrate graphically the 10 portfolios in the space annual risk and annual return.
Assume M the market portfolio including the three stocks. Compute its expected return, variance and risk.

Note the daily quotes for the stock extends past the image below. I cut it for simplicity. The yellow is where answers should go but I'm confused as to the exact formulas to use.

image text in transcribed

1-Daily Returns r_bell r_bmo r_enbridge bell bmo enbridge E(r) Var(r) risk variance-covariance matrix P1 0.48 0.46 0.06 P2 0.33 -0.18 0.85 P3 0.11 -1.11 2.00 P4 -0.10 -2.01 3.10 P5 -0.29 -2.87 4.16 P6 -0.48 -3.69 5.17 P7 -0.84 -5.24 7.08 P8 -1.18 -6.68 8.85 P9 -1.92 -9.89 12.80 P10 -2.56 -12.65 16.21 Portfolio: bell bmo enbridge 4- Elr) var(r) risk 5- risk (annual) Efr ) (annual) P1 57.39 09.07 Date BCE.TO (Bel BMO.TO 2018-01-02 59.79 100.36 2018-01-03 59.55 100.73 2018-01-04 59.49 101.6 2018-01-05 59.01 101.78 2018-01-08 58.83 101.65 cer 2018-01-09 58.57 102.41 2018-01-10 58.29 100 102.59 10 2018-01-11 58.44 102.39 . 0. 2018-01-12 57.92 102.42 2010... 24:22 102.44 2018-01-15 58.11 102.78 42 2018-01-16 57.75 1011 102.63 2018-01-17 57.78 2010-11 . 103.32 103.34 2018-01-18 57.8 103.72 2018-01-19 58.06 104.44 . 2018-01-22 2010-01-22 58.04 104.7 104. 4010342 2018-01-23 57.72 104.28 re 2018-01-24 57.2 103.7 105. 2018-01-25 57.9 103.56 2018-01-26 58.09 103.46 2018-01-29 57.45 103.03 2018-01-30 57.2 02 102.63 . 2018-01-31 57.52 101.33 2018-02-01 04 57.06 101.2 ---- 2018-02-02 . 56.37 02 100.21 100.2 2018-02-05 56.12 97.22 10 2018-02-06 55.83 97.57 2018-02-07 2010-020 56.71 97.86 2018-02-08 56.23 6.00 95.51 2018-02-09 55.82 95.34 2018-02-12 50.63 56.63 96.29 2018-02-13 56.03 96.38 2018-02-14 55.63 3.0) 97.21 2018-02-15 55.57 97.81 2018-02-16 55.87 97.61 2018-02-20 55.8 97.62 2010 2018-02-21 99.23 2010 2018-02-22 98.69 2018.02.02 2018-02-23 56.3 00C 99.46 2018-02-26 56.71 99.58 2018-02-27 56.96 98.2 2010 20 ra 24 2018-02-28 56 97.44 2018-03-01 55.79 96.44 22:22 2018-03-02 56.09 96.51 2018-03-05 56.49 OCCA 96.64 2018-03-06 56.63 96.71 2018-03-07 56.58 96.51 2018-03-08 56.95 97.44 2018.02.09 ECO 2018-03-09 56.9 98 2012.02.12 2018-03-12 57.14 98.22 2018-03-13 2018-03-13 00 2018-03-14 56.3 98.36 2018-03-15 56.34 98.6 100 2018-03-16 56.44 SEMA 98.71 2018-03-19 56.28 98.41 ---- 20:40 2.1 2018-03-20 56.11 99.31 ---- 2018-03-21 55.61 99.46 2018-03-22 55.18 98.04 2010-2 2018-03-23 54.53 96.87 2018-03-26 54.3 97.07 2018-03-27 54.82 96.54 2018-03-28 55.31 96.58 2018-03-29 55.44 97.32 ENB.TO (Enbridge) 50.25 50.67 50.98 50.58 50.58 50.17 1 49.11 10120 49.48 49.57 49.7 49.46 49.47 *** 49.38 49.25 49.29 13.2% 49.08 13.00 48.72 10.14 47.56 47.56 47.05 46.35 45.37 45.03 43.99 43.11 43.06 43.84 44.19 12 43.36 42.79 43.76 *3.70 44.13 14.15 42.86 42.86 43.23 42.95 43.06 43.3 42.57 42.74 42.97 42.09 40.81 102 40.78 40.57 41.02 40.93 40.5 41.11 4099 40.99 41 GA 41.94 12.65 42.65 42.87 41.06 2930 41.28 40.09 39.14 40.19 39.6 38.48 38.52 39.23 39.27 40.52 P2 P3 P4 P5 P6 P7 P8 P9 P10 6- Graph 1.200 56.12 55.89 1.000 0.800 0.600 0.400 0.200 0.000 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 7- M 0.5192 0.6466 -0.1658 daily annual E(Rm) Var(Rm) Sigm 1-Daily Returns r_bell r_bmo r_enbridge bell bmo enbridge E(r) Var(r) risk variance-covariance matrix P1 0.48 0.46 0.06 P2 0.33 -0.18 0.85 P3 0.11 -1.11 2.00 P4 -0.10 -2.01 3.10 P5 -0.29 -2.87 4.16 P6 -0.48 -3.69 5.17 P7 -0.84 -5.24 7.08 P8 -1.18 -6.68 8.85 P9 -1.92 -9.89 12.80 P10 -2.56 -12.65 16.21 Portfolio: bell bmo enbridge 4- Elr) var(r) risk 5- risk (annual) Efr ) (annual) P1 57.39 09.07 Date BCE.TO (Bel BMO.TO 2018-01-02 59.79 100.36 2018-01-03 59.55 100.73 2018-01-04 59.49 101.6 2018-01-05 59.01 101.78 2018-01-08 58.83 101.65 cer 2018-01-09 58.57 102.41 2018-01-10 58.29 100 102.59 10 2018-01-11 58.44 102.39 . 0. 2018-01-12 57.92 102.42 2010... 24:22 102.44 2018-01-15 58.11 102.78 42 2018-01-16 57.75 1011 102.63 2018-01-17 57.78 2010-11 . 103.32 103.34 2018-01-18 57.8 103.72 2018-01-19 58.06 104.44 . 2018-01-22 2010-01-22 58.04 104.7 104. 4010342 2018-01-23 57.72 104.28 re 2018-01-24 57.2 103.7 105. 2018-01-25 57.9 103.56 2018-01-26 58.09 103.46 2018-01-29 57.45 103.03 2018-01-30 57.2 02 102.63 . 2018-01-31 57.52 101.33 2018-02-01 04 57.06 101.2 ---- 2018-02-02 . 56.37 02 100.21 100.2 2018-02-05 56.12 97.22 10 2018-02-06 55.83 97.57 2018-02-07 2010-020 56.71 97.86 2018-02-08 56.23 6.00 95.51 2018-02-09 55.82 95.34 2018-02-12 50.63 56.63 96.29 2018-02-13 56.03 96.38 2018-02-14 55.63 3.0) 97.21 2018-02-15 55.57 97.81 2018-02-16 55.87 97.61 2018-02-20 55.8 97.62 2010 2018-02-21 99.23 2010 2018-02-22 98.69 2018.02.02 2018-02-23 56.3 00C 99.46 2018-02-26 56.71 99.58 2018-02-27 56.96 98.2 2010 20 ra 24 2018-02-28 56 97.44 2018-03-01 55.79 96.44 22:22 2018-03-02 56.09 96.51 2018-03-05 56.49 OCCA 96.64 2018-03-06 56.63 96.71 2018-03-07 56.58 96.51 2018-03-08 56.95 97.44 2018.02.09 ECO 2018-03-09 56.9 98 2012.02.12 2018-03-12 57.14 98.22 2018-03-13 2018-03-13 00 2018-03-14 56.3 98.36 2018-03-15 56.34 98.6 100 2018-03-16 56.44 SEMA 98.71 2018-03-19 56.28 98.41 ---- 20:40 2.1 2018-03-20 56.11 99.31 ---- 2018-03-21 55.61 99.46 2018-03-22 55.18 98.04 2010-2 2018-03-23 54.53 96.87 2018-03-26 54.3 97.07 2018-03-27 54.82 96.54 2018-03-28 55.31 96.58 2018-03-29 55.44 97.32 ENB.TO (Enbridge) 50.25 50.67 50.98 50.58 50.58 50.17 1 49.11 10120 49.48 49.57 49.7 49.46 49.47 *** 49.38 49.25 49.29 13.2% 49.08 13.00 48.72 10.14 47.56 47.56 47.05 46.35 45.37 45.03 43.99 43.11 43.06 43.84 44.19 12 43.36 42.79 43.76 *3.70 44.13 14.15 42.86 42.86 43.23 42.95 43.06 43.3 42.57 42.74 42.97 42.09 40.81 102 40.78 40.57 41.02 40.93 40.5 41.11 4099 40.99 41 GA 41.94 12.65 42.65 42.87 41.06 2930 41.28 40.09 39.14 40.19 39.6 38.48 38.52 39.23 39.27 40.52 P2 P3 P4 P5 P6 P7 P8 P9 P10 6- Graph 1.200 56.12 55.89 1.000 0.800 0.600 0.400 0.200 0.000 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 7- M 0.5192 0.6466 -0.1658 daily annual E(Rm) Var(Rm) Sigm