Question
Download one-month daily stock prices for The Coca-Cola Company,PepsiCo, and Pfizer from Yahoo Finance which can be accessed free at home.Use daily adjusted close prices
Download one-month daily stock prices for The Coca-Cola Company,PepsiCo, and Pfizer from Yahoo Finance which can be accessed free at home.Use daily adjusted close prices from 1st Dec 2020 to 31st Dec 2020 (DONOT include 30 Nov 2020 price data; 31 Dec 2020 price data MUST be included; Hint: to include the price data on 31 Dec 2020, choose 1 Jan 2021 as the end date).
1. Present in a table the name of the companies, the dates, the adjusted close prices and the returns (in %). The table must fit in one page only. Example:
| Company A | Company B | Company C
| |||
Date | Price | Return (%) | Price | Return (%) | Price | Return (%) |
DD/MM/YY | aa.aa | aa.aa | bb.bb | bb.bb | cc.cc | cc.cc |
... | ... | ... | ... | ... | ... | ... |
DD/MM/YY | aa.aa | aa.aa | bb.bb | bb.bb | cc.cc | cc.cc |
[10 marks]
2. Calculate the average return and variance of returns for each company.
[24 marks]
3. Calculate the variance-covariance matrix and correlation matrix for each company above.
[36 marks]
4. Select the two companies from question 3 with the lowest correlation coefficient. Use 5 different combinations of portfolio weights from the below table for the two companies to create 5 different portfolios. Calculate the expected return and standard deviation of each portfolio. Present the results in the following table:
Portfolios | Weight Company 1 | Weight Company 2 | Expected Return (%) | Standard Deviation (%) |
1 | 1 | 0 |
|
|
2 | 0.75 | 0.25 |
|
|
3 | 0.5 | 0.5 |
|
|
4 | 0.25 | 0.75 |
|
|
5 | 0 | 1 |
|
|
[
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