Question
Consider these two stocks: AT&T Inc. (T) and Verizon Communications Inc. (VZ). Use the daily adjusted closing prices from March 1, 2015 to August 12,
Consider these two stocks: AT&T Inc. (T) and Verizon Communications Inc. (VZ). Use the daily adjusted closing prices from March 1, 2015 to August 12, 2015 as historical data.
1. Estimate the mean rate of return and the standard deviation of each of these assets. Moreover estimate their correlation coefficient , and their covariance.
2. Using their correlation coefficient , find the weight of each of these assets that will give an efficient portfolio with minimum variance. Deduce the return of that portfolio.
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Valuation Measuring And Managing The Value Of Companies
Authors: McKinsey & Company Inc., Tom Copeland, Tim Koller, Jack Murrin
3rd Edition
0471361909, 978-0471361909
