c. Calculate the standard deviation of annual returns for AMZN, BUD, and the equally weighted portfolio of
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Question:
c. Calculate the standard deviation of annual returns for AMZN, BUD, and the equally weighted portfolio of AMZN and BUD.
d. Calculate the correlation coefficient for AMZN and BUD annual returns.
e. Create a table in Excel that calculates returns for portfolios comprised of AMZN and BUD using the following, respective, weightings: (1.0, 0.0), (0.9, 0.1), (0.8, 0.2), (0.7, 0.3), (0.6, 0.4), (0.5,0.5), (0.4, 0.6), (0.3, 0.7), (0.2, 0.8), (0.1, 0.9), and (0.0, 1.0). Also, calculate the portfolio standard deviation associated with each portfolio composition. You will need to use the standard deviations found previously for AMZN and BUD and their correlation coefficient.
Year | Weight (A) | Amazon.com, Inc. (AMZN) | Weight (B) | Anheuser-Busch InBev SA/NV (BUD) |
2010 | 1 | 0.3527 | 0 | 0.1228 |
2011 | 0.9 | 0.1462 | 0.1 | 0.1203 |
2012 | 0.8 | 0.3655 | 0.2 | 0.4898 |
2013 | 0.7 | 0.3510 | 0.3 | 0.1158 |
2014 | 0.6 | -0.0116 | 0.4 | 0.3113 |
2015 | 0.5 | 0.6557 | 0.5 | 0.0648 |
2016 | 0.4 | 0.5294 | 0.6 | 0.0161 |
2017 | 0.3 | 0.7619 | 0.7 | 0.1269 |
2018 | 0.2 | 0.1846 | 0.8 | -0.3010 |
2019 | 0.1 | 0.1687 | 0.9 | 0.0090 |
2020 | 0 | 0.5961 | 1 | -0.1595 |
Related Book For
Introduction to Corporate Finance What Companies Do
ISBN: 978-1111222284
3rd edition
Authors: John Graham, Scott Smart
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