In this assignment, you are required to select eight stocks listed on SSE from WIND database and write a report that addresses the following questions: Q1: Calculate the daily return of these 8 assets, plot the time series of the return series. (5 marks) Q2: Calculate the average returns and standard deviations, as well as the variances of the 8 assets from excel. (5 marks) Q3: Construct the variance-covariance of the 8-asset portfolio based on the textbook method. Checking that the diagonal side of the matrix matches with the previous excel calculion of variances. (10 marks) 0.10.10.3) \& portfolio y(0.20.10.30.050.150.10.050.05). Calculate the mean, standard deviation, and covariance based on the two portfolios. Apply Excel scenario analysis to construct a new portfolio based on the two sub-portfolios (portfolio weight can range between 0% and 100% ). Also, comment on whether this portfolio is efficient or not. ( 20 marks) Q5: Use the SSE index to run the first-pass regression and calculate the betas of each asset. (10 marks) Q6: Based on the betas calculated from Q4, run a second-pass regression and comment on the results. Does CAPM hold in the second-pass regression? Why? (Assuming that the r=0 ) (20 marks) Q7: Calculate the efficient portfolio of the eight when rf=0, and compile a market index based on the efficient portfolio. ( 10 marks) Q8: Run the first-pass and second-pass regression again based on the efficient market index, and comment on the shape of the newly-constructed security market line (SML). Comment on the theoretical underpinning of CAPM. (20 marks) In this assignment, you are required to select eight stocks listed on SSE from WIND database and write a report that addresses the following questions: Q1: Calculate the daily return of these 8 assets, plot the time series of the return series. (5 marks) Q2: Calculate the average returns and standard deviations, as well as the variances of the 8 assets from excel. (5 marks) Q3: Construct the variance-covariance of the 8-asset portfolio based on the textbook method. Checking that the diagonal side of the matrix matches with the previous excel calculion of variances. (10 marks) 0.10.10.3) \& portfolio y(0.20.10.30.050.150.10.050.05). Calculate the mean, standard deviation, and covariance based on the two portfolios. Apply Excel scenario analysis to construct a new portfolio based on the two sub-portfolios (portfolio weight can range between 0% and 100% ). Also, comment on whether this portfolio is efficient or not. ( 20 marks) Q5: Use the SSE index to run the first-pass regression and calculate the betas of each asset. (10 marks) Q6: Based on the betas calculated from Q4, run a second-pass regression and comment on the results. Does CAPM hold in the second-pass regression? Why? (Assuming that the r=0 ) (20 marks) Q7: Calculate the efficient portfolio of the eight when rf=0, and compile a market index based on the efficient portfolio. ( 10 marks) Q8: Run the first-pass and second-pass regression again based on the efficient market index, and comment on the shape of the newly-constructed security market line (SML). Comment on the theoretical underpinning of CAPM. (20 marks)