Question
Question 2 Suppose that the annual returns on two shares are perfectly negatively correlated and that =0.07, = 0.20,= 0.12 , and = 0.5. Assuming
Question 2
Suppose that the annual returns on two shares are perfectly negatively correlated and that =0.07,
= 0.20,= 0.12 , and = 0.5. Assuming that there are no arbitrage opportunities, by using
the Goal Seek function (excel) calculate the weight (proportion) of the two assets that produce the lowest portfolio variance? (Use the Goal Seek function)
MAYBANK
Years | Share price | Dividends |
2010 | MYR 8.500 | 0.4400 |
2011 | MYR 8.700 | 0.3600 |
2012 | MYR 8.200 | 0.3300 |
2013 | MYR 8.880 | 0.3100 |
2014 | MYR 9.630 | 0.3300 |
2015 | MYR 8.720 | 0.3000 |
2016 | MYR 8.580 | 0.3200 |
2017 | MYR 8.220 | 0.3200 |
2018 | MYR 10.100 | 0.3200 |
2019 | MYR 9.540 | 0.3900 |
|
|
PETRONAS
Years | Share price | Dividends |
2010 | MYR 11.100 | 0.3500 |
2011 | MYR 11.180 | 0.2500 |
2012 | MYR 15.560 | 0.3500 |
2013 | MYR 18.560 | 0.4000 |
2014 | MYR 23.380 | 0.1500 |
2015 | MYR 22.200 | 0.1700 |
2016 | MYR 22.880 | 0.1900 |
2017 | MYR 20.880 | 0.1900 |
2018 | MYR 17.900 | 0.2200 |
2019 | MYR 18.080 | 0.2200 |
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