Question
ICE 7 (This assignment needs to be done using Excel. Create an Excel file to work on this) (show formulas used in excel) 1. You
ICE 7 (This assignment needs to be done using Excel. Create an Excel file to work on this) (show formulas used in excel)
1. You have the statistics for stocks ABC, QPD, and XYZ as follows.
RETURN STATISTICS FOR 3 STOCKS | |||
ABC | QPD | XYZ | |
Average return | 22.00% | 17.50% | 30.00% |
Variance | 0.2 | 0.05 | 0.17 |
Standard deviation | 44.72% | 22.36% | 41.23% |
Correlations | |||
Corr(ABC,QPD) | 0.05 | ||
Corr(ABC,XYZ) | -0.1 | ||
Corr(QPD,XYZ) | 0.5 | ||
Cov(ABC,QPD) | 0.0050 | ||
Cov(ABC,XYZ) | -0.0184 | ||
Cov(QPD,XYZ) | 0.0461 |
a. Find the average return and standard deviation of a portfolio composed 50% of stock ABC, 20% of QPD, and 30% of stock XYZ.
b. What is the standard deviation of the minimum variance portfolio consisting of the three stocks?
c. Find the portfolio having maximum return given that the portfolio standard deviation is 30%.
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