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 C. If you invest 20% of your investment at the risk-free rate and the rest fund in the market portfolio, what are your portfolio expected return and standard deviation? | |||
| Percentage of investment in the risk-free asset |
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| Percentage of investment in the market portfolio |
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| Expected portfolio return, E(rp) |
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| Portfolio standard deviation, p |
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| Part D. Suppose you are able to borrow $1000 at the risk-free rate, and invest both borrowed capital and $5000 of your own capital into the market portfolio |
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| Percentage of investment in the risk-free asset |
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| Percentage of investment in the market portfolio |
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| Expected portfolio return, E(rp) |
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| Portfolio standard deviation, p |
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Research Methods Statistics and Applications
Authors: Kathrynn A. Adams, Eva Marie K. Lawrence
1st edition
1452220182, 978-1452220185
