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Panel 1. Sample Stock Statistics amazon boeing apple tesla monthly average return 0.69% -0.12% 2.37% 4.88% monthly variance 0.00901 0.01817 0.00884 0.04724 monthly std. dev
Panel 1. | Sample Stock Statistics |
amazon | boeing | apple | tesla | |
monthly average return | 0.69% | -0.12% | 2.37% | 4.88% |
monthly variance | 0.00901 | 0.01817 | 0.00884 | 0.04724 |
monthly std. dev | 9.49% | 13.48% | 9.40% | 21.73% |
Panel 2. Covariance Matrix
amazon | boeing | apple | tesla | |
amazon | 0.00901 | 0.00203 | 0.00601 | 0.01076 |
boeing | 0.00203 | 0.01817 | 0.00366 | 0.00502 |
apple | 0.00601 | 0.00366 | 0.00884 | 0.01234 |
tesla | 0.01076 | 0.00502 | 0.01234 | 0.04724 |
panel 3. portgplio returns and risk
portfolio weights | monthly average return | |
amazon | 25% | 0.69% |
boeing | 25% | -0.12% |
Apple | 25% | 2.37% |
tesla | 25% | 4.88% |
sum | 100% |
monthly | annual | |
portfolio return | 1.95% | 23.45% |
variance | 0.0102 | 0.122170865 |
risk free rateq | 4% | |
risk premium | 19.45% | |
std dev | 10.09% | 34.95% |
sharpe ratio | 0.5566 |
panel 4. various points along the efficient frontier
Use "Solver" to figure out the weights of the assets, as well as the portfolio's risk Premium, Std. Dev, and Sharpe ratio
min var portolio | optimal portfolio | ||||||
risk premium | |||||||
std. dev | |||||||
sharpe ratio | |||||||
amazon | |||||||
boeing | |||||||
apple | |||||||
tesla | |||||||
CAL |
*: CAL value is calculated as the Std. Dev multiplied by the optimal portfolio's Sharpe ratio, which is equal to the risk premium or the vertical axis of the CAL.
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