Question

Consider a portfolio that contains stocks from the following firms: AB Volvo, Pentair, Inc., Reliant Energy, Inc., TCF Financial, 3M Company, and Restoration Hardware. Data for these stocks for a 60-month period (May 2003-April 2008) are contained in the data file Return on Stock Price 60 month. Compute the means, variances, and covariances for the monthly stock price growth rate. Determine the mean and variance for a portfolio that contains equal fractions of the six stocks. Construct a second portfolio by removing TCF Financial and Restoration Hardware. Determine the mean and variance of this second portfolio that includes 20% AB Volvo, 30% Pentair, 30% Reliant Energy, and 20% 3M Company. Compare this portfolio with the first and recommend a choice between them.


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  • CreatedJuly 07, 2015
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