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The Excel file Stock Data con ta ins monthly return data for seven ( 7 ) stoc ks . a. Us e these returns and
The Excel file Stock Data contains monthly return data for seven (7) stocks.
a. Use these returns and the Matrix of Excess Returns to compute the Variance-Covariance Matrix for these seven (7) stocks. (Do not use the varcovar VBA function). b. Use the Variance - Covariance Matrix for these seven(7) stocks to compute the individual stock proportions for the Global Minimum Variance Portfolio (GMVP). c. Calculate the Expected Return and Risk (Standard Deviation) for the Global Minimum Variance Portfolio (GMVP). \begin{tabular}{|c|c|c|c|c|c|c|c|} \hline \multicolumn{8}{|c|}{ Stock Data } \\ \hline \multicolumn{8}{|c|}{ RETURNS FOR 7 STOCKS } \\ \hline Month & Stock A & Stock B & Stock C & Stock D & Stock E & Stock F & Stock G \\ \hline 1 & 2.90% & 9.51% & 1.94% & 16.18% & 3.23% & 4.31% & 2.40% \\ \hline 2 & 4.79% & 10.51% & 10.47% & 12.03% & 16.66% & 7.61% & 5.20% \\ \hline 3 & 2.91% & 7.93% & 12.07% & 8.29% & 0.72% & 0.56% & 4.00% \\ \hline 4 & 4.25% & 7.34% & 10.77% & 12.40% & 2.16% & 5.94% & 0.50% \\ \hline 5 & 5.30% & 14.27% & 5.18% & 3.30% & 13.38% & 14.35% & 9.00% \\ \hline 6 & 0.88% & 3.70% & 1.64% & 7.31% & 10.56% & 6.54% & 1.90% \\ \hline 7 & 3.54% & 1.78% & 7.50% & 16.59% & 3.93% & 0.90% & 0.40% \\ \hline 8 & 3.76% & 15.77% & 4.65% & 19.34% & 5.85% & 1.45% & 2.30% \\ \hline 9 & 2.94% & 4.16% & 2.96% & 6.42% & 2.76% & 10.47% & 2.10% \\ \hline 10 & 2.86% & 4.34% & 0.72% & 0.00% & 5.11% & 6.24% & 2.40% \\ \hline 11 & 0.86% & 15.88% & 14.50% & 6.32% & 1.08% & 1.44% & 6.70% \\ \hline 12 & 0.41% & 35.06% & 1.90% & 6.76% & 3.74% & 13.12% & 1.30% \\ \hline 13 & 2.85% & 21.97% & 3.73% & 12.15% & 2.06% & 2.76% & 2.60% \\ \hline 14 & 3.05% & 11.46% & 5.39% & 4.74% & 4.55% & 6.39% & 2.50% \\ \hline 15 & 4.85% & 29.49% & 22.15% & 25.86% & 17.46% & 17.24% & 9.80% \\ \hline 16 & 1.26% & 14.75% & 2.59% & 4.11% & 0.45% & 2.66% & 0.70% \\ \hline 17 & 5.82% & 6.92% & 5.32% & 12.50% & 1.81% & 18.13% & 0.30% \\ \hline 18 & 7.20% & 0.00% & 24.99% & 7.52% & 11.98% & 5.49% & 9.00% \\ \hline 19 & 0.86% & 25.57% & 0.38% & 2.44% & 2.09% & 0.53% & 4.90% \\ \hline 20 & 5.10% & 21.51% & 0.75% & 1.19% & 12.84% & 3.01% & 0.40% \\ \hline 21 & 1.69% & 23.49% & 11.94% & 13.33% & 2.37% & 11.90% & 6.40% \\ \hline 22 & 0.83% & 40.97% & 2.66% & 4.16% & 9.71% & 0.00% & 2.70% \\ \hline 23 & 0.86% & 22.31% & 18.83% & 30.40% & 1.77% & 11.30% & 4.40% \\ \hline 24 & 4.66% & 11.58% & 4.37% & 5.73% & 5.86% & 17.59% & 7.20% \\ \hline 25 & 4.45% & 12.89% & 2.10% & 2.29% & 6.81% & 1.90% & 2.40% \\ \hline 26 & 0.34% & 17.99% & 5.35% & 6.71% & 11.55% & 1.87% & 0.30% \\ \hline 27 & 0.00% & 5.87% & 13.20% & 10.86% & 7.14% & 8.65% & 4.30% \\ \hline 28 & 1.18% & 1.01% & 16.59% & 6.89% & 2.67% & 5.73% & 4.60% \\ \hline 29 & 6.25% & 17.36% & 1.08% & 7.89% & 8.90% & 11.49% & 4.70% \\ \hline 30 & 0.37% & 13.46% & 5.32% & 15.99% & 0.31% & 6.43% & 2.40% \\ \hline 31 & 5.95% & 2.32% & 14.65% & 4.40% & 1.57% & 0.57% & 1.60% \\ \hline 32 & 0.00% & 25.48% & 3.83% & 5.48% & 6.69% & 9.98% & 1.30% \\ \hline 33 & 6.43% & 5.52% & 0.91% & 3.59% & 4.18% & 6.88% & 4.00% \\ \hline 34 & 7.72% & 9.03% & 19.51% & 14.40% & 3.15% & 26.55% & 11.40% \\ \hline 35 & 6.22% & 24.39% & 22.21% & 8.09% & 3.89% & 13.09% & 1.90% \\ \hline \end{tabular}
The Excel file Stock Data contains monthly return data for seven (7) stocks.
a. Use these returns and the Matrix of Excess Returns to compute the Variance-Covariance Matrix for these seven (7) stocks. (Do not use the varcovar VBA function).
b. Use the Variance - Covariance Matrix for these seven(7) stocks to compute the individual stock proportions for the Global Minimum Variance Portfolio (GMVP).
c. Calculate the Expected Return and Risk (Standard Deviation) for the Global Minimum Variance Portfolio (GMVP).
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