Question
Please show formulas on Excel. Stock A Stock B Risk-free Rate Average 11.00% 9.00% 6% Variance 12.00% 10.00% Sigma 0.3464 0.3162 Cov(rA,rB) 0.0400 Correlation(rA, rB)
Please show formulas on Excel.
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| Stock A | Stock B | Risk-free Rate |
| Average | 11.00% | 9.00% | 6% |
| Variance | 12.00% | 10.00% |
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| Sigma | 0.3464 | 0.3162 |
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| Cov(rA,rB) | 0.0400 |
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| Correlation(rA, rB) | 3.3333 |
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| Part A. Calculate portfolio's Sharpe ratio and other statistics |
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| Percentage in A | 50.00% |
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| Percentage in B | 50.00% |
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| Expected portfolio return, E(rp) |
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| Portfolio standard deviation, p |
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| Sharpe Ratio |
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| Part B. Identify the market portfolio, the intercept and the slope of the capital market line (CML) equation |
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| Percentage of A in the market portfolio |
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| Percentage of B in the market portfolio |
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| The market portfolio expected return |
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| The market portfolio standard deviation |
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| CML intercept |
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| CML slope |
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
