Question
(iii) (1) Based on the 6-stock portfolio, calculate the expected return/standard deviation ratio for EACH of the 6 stocks, and put those numbers in the
(iii) (1) Based on the 6-stock portfolio, calculate the expected return/standard deviation
ratio for EACH of the 6 stocks, and put those numbers in the corresponding spaces in the
following table.
(2) (a) Make the following table with the corresponding numbers in your 6-stock portfolio,
sorted by the expected return/standard deviation ratio from the highest to the lowest:
Expected Return/Standard Deviation Ratio Optimal Weights
Stock 1 (with highest ratio)
Stock 2
Stock 3
Stock 4
Stock 5
Stock 6 (with lowest ratio)
(b) What pattern have you observed by comparing the numbers in the Expected
Return/Standard Deviation Ratio column and those in the Optimal Weights column, in
the above table?
(iv) (1) Compare the Sharpe Ratios of the Optimal Portfolios vs. those of the Adjusted
Portfolio Details | ||||||
Name | Symbol | Expected Return (Er) | Standard Deviation (StDev) | Optimal Weight | Adjusted Weight | Minimum Variance Weight |
Campbell Soup | CPB | 16.4 % | 17.2 % | 22.9 % | 10.7 % | 1.7 % |
Charles Schwab | SCHW | 7.1 % | 28.1 % | -4.7 % | 0.0 % | 2.2 % |
McCormick & Co. | MKC | 16.8 % | 13.4 % | 75.1 % | 62.8 % | 40.6 % |
Microsoft Corp. | MSFT | 17.1 % | 22.0 % | 38.9 % | 26.6 % | 12.9 % |
Woolworths Limited | WOW.AX | 2.6 % | 15.7 % | -6.3 % | 0.0 % | 36.4 % |
western union | WU | -1.0 % | 25.7 % | -25.9 % | 0.0 % | 6.3 % |
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