Question
Question 7: Need help with the followoing. Please make sure to provide answer on excel format. thks 7 . The following are monthly percentage price
Question 7:
Need help with the followoing. Please make sure to provide answer on excel format.
thks
7. The following are monthly percentage price changes for four market indexes.
MonthDJIAS&P 500 Russell 2000 Nikkei
10.03 0.02 0.04 0.04
2 0.07 0.06 0.10 0.02
3 0.02 0.01 0.04 0.07
4 0.01 0.030.030.02
5 0.05 0.04 0.110.02
6 0.06 0.04 0.08 0.06
Compute the following.
a. Average monthly rate of return for each index
b. Standard deviation for each index
c. Covariance between the rates of return for the following indexes:
DJIAS&P 500
S&P 500Russell 2000
S&P 500Nikkei
Russell 2000Nikkei
d. The correlation coefficients for the same four combinations
e. Using the answers from parts (a), (b), and (d), calculate the expected return and standard
deviation of a portfolio consisting of equal parts of (1) the S&P and the Russell
2000 and (2) the S&P and the Nikkei. Discuss the two portfolios.
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