Question
Use this data for problems 1 5. The annual returns for securities A, B, C, D and the Market (S&P 500) are shown below. Remember
Use this data for problems 1 5. The annual returns for securities A, B, C, D and the Market (S&P 500) are shown below. Remember to show all calculations.
t | A, % | B, % | C, % | D, % | Mkt, % |
1 | 18.56 | 18.23 | 8.43 | 12.43 | 12.28 |
2 | 12.34 | 5.24 | 3.12 | 13.45 | 5.99 |
3 | 14.12 | 14.71 | 12.58 | 4.32 | 12.41 |
4 | -1.57 | -6.56 | 3.87 | -8.54 | -4.48 |
5 | 3.12 | 9.12 | 1.45 | 12.21 | 12.34 |
6 | -8.28 | -7.43 | -6.59 | -4.91 | -13.41 |
Calculate the portfolio standard deviation if you put 30% of your money in A and 70% in D. (10 points) Show your work
You decide to create a two-stock portfolio of stocks B and D. Calculate the covariance between the two stocks and the variance of each stock. Use this information to determine the expected return and standard deviation of the minimum variance portfolio between the two securities.
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