Question: Q. calculate the sample means and standard deviations, as well as the correlation between the two sets of returns. calculate the covariance matrix for the

Q. calculate the sample means and standard deviations, as well as the correlation between the two sets of returns. calculate the covariance matrix for the two returns. Finally, suppose that these returns follow a bivariate normal distribution, and that I have a portfolio consisting of 60% in BHP shares and 40% RIO shares. Calculate the expected value, variance, and standard deviation of the return for my portfolio.

Date BHP Close RIO Close BHP Return RIO Return
2015-01-01 27.603399 58.330002
2015-01-04 27.5473 58.48 -0.00203232 0.002571541
2015-01-05 26.2672 57.59 -0.04646916 -0.01521888
2015-01-06 26.2672 57.290001 0 -0.00520922
2015-01-07 26.5194 58.650002 0.009601328 0.023738889
2015-01-08 27.248301 59.400002 0.027485577 0.012787723
2015-01-11 26.6409 58.5 -0.02229133 -0.01515155
2015-01-12 26.136299 57.459999 -0.01894084 -0.01777779
2015-01-13 25.4168 55.540001 -0.02752873 -0.03341452
2015-01-14 25.136499 54.18 -0.01102818 -0.02448687
2015-01-15 25.2766 53.889999 0.005573608 -0.00535255
2015-01-18 25.8934 54.16 0.024402016 0.005010225
2015-01-19 25.6784 53.689999 -0.00830327 -0.00867801
2015-01-20 26.2111 55.09 0.020745062 0.026075638
2015-01-21 26.958599 56.5 0.028518414 0.025594482
2015-01-22 27.453899 56.860001 0.018372616 0.006371699
2015-01-26 27.052099 56.799999 -0.01463544 -0.00105526
2015-01-27 27.0427 56.98 -0.00034744 0.003169032
2015-01-28 27.052099 57.049999 0.000347561 0.001228484
2015-01-29 27.341801 57.560001 0.01070904 0.008939562

Sample
BHP Mean
BHP SD
RIO Mean
RIO SD
Correlation
Covariance matrix
Expected return
Variance of return
SD of return

Please write the answer with excel formulas

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Q:

Concord Company acquired the assets (except for cash) and assumed the liabilities of Cullumber Company on January 1, 2024, paying $745,000 cash. Cullumber Company's December 31, 2023, balance sheet,...

Q:

Historical daily prices for WM and AN shares from 2 0 2 0 to 2 0 2 3 inclusive are given in the sheet Q 1 . First calculate the daily returns in Columns D and E . From there, calculate the sample...

Q:

1. Simulate 250 realizations of log returns of two stocks both obeying normal distributions with means zero, standard deviations 0.02 and 0.04 , respectively, if the correlation between the two...

Q:

Now use the historical returns data in Table 2-1 to calculate Market, Games, and Outplace?s standard deviations, beta coefficients, correlation coefficients with the market, and R2 values. Discuss...

Q:

please emergency !!! (25 points total) in the Excel file that is linked to this question, you will see the stock prices for 2 different stocks. a) (5 points) Please calculate the Mean Variance,...

Q:

Date Oca.09 ub.09 Mar.09 Nis.09 May 09 Coca Cola 21,36 20,43 21,98 21,52 24,58 24 Mean Variance Sigma Covariance Correlation Haz.09 Tem.09 Au.09 Eyl.09 Eki.09 24,92 24,39 26,85 26,66 28,6 28,5 Sample...

Q:

please emergencyy !!!! (25 points total) in the Excel file that is linked to this question, you will see the stock prices for 2 different stocks. a) (5 points) Please calculate the Mean Variance,...

Q:

Independent ttest Module IXC Independent t-test Module IX-C Grenith J. Zimmerman, Ph.D. Associate Dean for Research Copyright 2012 1 Two-Sample Problems Independent t-tests The goal of inference is...

Q:

I require assistance with this assignment. Any help would be appreciated. It mostly involves calculating probabilities, variances, etc. in regards to stocks UNIVERSITY OF TORONTO Joseph L. Rotman...

Q:

Tutorial 2 1. Write the t-distribution for p = 2 without using matrix. 2. For SP500 index of 2014 (symbol gspc), please (a) t a t-distribution to the daily log-return. (b) calculate sample Skewness...

Q:

Tutorial 2 1. Write the t-distribution for p = 2 without using matrix. 2. For SP500 index of 2014 (symbol gspc), please (a) t a t-distribution to the daily log-return. (b) calculate sample Skewness...

Q:

A person sold an article at a profit of 15%. If he had bought it at 10% less and sold it for 4.5 more, he would have gained 25%. Find the cost price.

Q:

An important part of the tech bust in 2001 was that firms became more pessimistic about the future profitability of internet-related investment projects. In response, they substantially reduced their...

Q:

The MM proposition has led to the development of the trade - off theory, where the firm's value first rises with the use of debt due to the tax shelter benefits, but later falls as more debt is added...

Q:

Add "Viggo Mortenslet cast = new Map ( ) ;en " to the cast as the key, with value "Aragorn".