Question: Please show formulas on Excel. Consider the following statistics for a portfolio composed of shares of companies A and B Company A stock Company B
Please show formulas on Excel.
| Consider the following statistics for a portfolio composed of shares of companies A and B | ||
| Company A stock | Company B stock | |
| Average return | 15% | 10% |
| Variance | 0.12 | 0.07 |
| Sigma | 34.64% | 26.46% |
| Covariance of returns | 0.0160 | |
| Correlation of returns | 0.1746 | |
| Portfolio combination #1 | ||
| Proportion of A | 30% | |
| Proportion of B | 70.00% | |
| Portfolio average return | 11.50% | |
| Portfolio standard deviation | 22.76% | |
| Part A. Suggest a portfoli combination that improves return while maintaining the same level of risk as the Portfolio combination #1 | ||
| Proportion of A | ||
| Proportion of B | ||
| Portfolio average return | ||
| Portfolio standard deviation | ||
| Part B. Calculate the minimum variance portfolio for the portfolio composed of the two assets described above. | ||
| Proportion of A | ||
| Proportion of B | ||
| Portfolio average return | ||
| Portfolio standard deviation | ||
| Part C. How to construct an efficient protfolio that has an expected return of 14.82% | ||
| Proportion of A | ||
| Proportion of B | ||
| Portfolio average return | ||
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts