Scribd
Upload
980 views5 pages

FINS2624 Computer Assignment

This document contains daily return and risk statistics for five companies (FORD, APPLE, GENERAL ELECTRIC, MICROSOFT, NIKE) and the portfolio constructed from them. It calculates the expected return, variance, and Sharpe ratio for each stock and the portfolio. It also explores minimum variance and optimal risky portfolios, finding the optimal portfolio has weights of 9.37% in FORD, 32.24% in APPLE, 14.54% in GENERAL ELECTRIC, 11.86% in MICROSOFT, and 31.99% in NIKE, with an expected return of 8.41% and variance of 0.117. The efficient frontier graph plots the tradeoff

Uploaded by

Edward Yang
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
980 views5 pages

FINS2624 Computer Assignment

This document contains daily return and risk statistics for five companies (FORD, APPLE, GENERAL ELECTRIC, MICROSOFT, NIKE) and the portfolio constructed from them. It calculates the expected return, variance, and Sharpe ratio for each stock and the portfolio. It also explores minimum variance and optimal risky portfolios, finding the optimal portfolio has weights of 9.37% in FORD, 32.24% in APPLE, 14.54% in GENERAL ELECTRIC, 11.86% in MICROSOFT, and 31.99% in NIKE, with an expected return of 8.41% and variance of 0.117. The efficient frontier graph plots the tradeoff

Uploaded by

Edward Yang
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 5

E(ri)

Daily

E(ri)
E(ri) - rf
Daily

Var(ri)
Var(ri)
i
Sharpe ratio,
Si




FORD

APPLE

GENERAL ELECTRIC

MICROSOFT

NIKE

Risk-free return

0.03%

0.04%

0.03%

0.02%

0.03%

0.01%

8.29%

11.37%

7.55%

6.11%

6.71%

2.00%

6.29%

9.37%

5.55%

4.11%

4.71%

0.001138
0.287
0.5356

0.001160
0.292
0.5406

0.000567
0.143
0.3781

0.000370
0.093
0.3052

0.000410
0.103
0.3214

0.117

0.173

0.147

0.135

0.147

Portfolio lab


Weight

wFORD rFORD
9.37%

wAPPLE rAPPLE
32.24%

wGE rGE
14.54%

wMICROSOFT rMICROSOFT
11.86%

wNIKE rNIKE
31.99%

wFORD rFORD
wAPPLE rAPPLE
wGE rGE
wMICROSOFT
rMICROSOFT

9.37%
32.24%
14.54%

0.00252
0.00432
0.00127

0.00432
0.03038
0.00644

0.00127
0.00644
0.00302

0.00076
0.00391
0.00105

0.00192
0.01020
0.00298

11.86%

0.00076

0.00391

0.00105

0.00131

0.00187

wNIKE rNIKE

31.99%

0.00192

0.01020

0.00298

0.00187

0.01057


Portfolio
weights
E(rP)
Var(rP)

wFORD

wAPPLE

wGE

wMICROSOFT

wNIKE

9.37%

32.24%

14.54%

11.86%

31.99%

8.4116814861015200%
0.117
0.3424180076280860000
0

18.72%

(rP)
Sharpe ratio,
SP


E(rP)
3%
5%
7%
9%
11%
13%

FORD
0.004
3.71%
7.03%
10.34%
13.66%
16.98%


Portfolio
weight
E(rP*)
Var(rP*)
(rP*)
Sharpe ratio,
SP*




A


y*
E(rP)
(rP)
U



Minimum variance portfolios
APPLE
-73.40%
-34.36%
4.68%
43.73%
82.77%
121.81%

GENERAL ELECTRIC
30.49%
24.59%
18.70%
12.80%
6.91%
1.01%

FORD



Optimal risky portfolio
APPLE
GENERAL ELECTRIC

9.37%

32.24%

8.41%
0.117
34.24%

0.187




Optimal complete portfolio
2



Analytical solution
Numerical solution
0.27
0.27
3.75307578637104
3.7530757885223400%
00%
9.36%
9.36%
0.0288
0.0288


MICROSOFT
91.81%
62.26%
32.71%
3.17%
-26.38%
-55.93%



NIKE
50.71%
43.79%
36.87%
29.96%
23.04%
16.13%

(rP)
0.321
25.59%
27.95%
37.54%
50.39%
64.58%



MICROSOFT


NIKE

14.54%

11.86%

31.99%

Ef'icient frontier
16.00%
14.00%

E(r)

12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
0%

10%

20%

30%

40%

50%

60%

70%

80%


E(rApple)
E(rGE)

Annual

0.04%

(E(rMicrosoft) - rf)
Var(rFord)

Annual

Var(rNike)Annual
AppleAnnual
Sharpe ratio, Smicrosoft
3% MV Portfolio, wFord
5% MV Portfolio, wApple
7% MV Portfolio, wGE
9% MV Portfolio, wMicrosoft
11% MV Portfolio, wNike
13% MV Portfolio,

Optimal Risky Portfolio, wFord

Student ID 1:

7.55%

Student ID 2:

4.11%
0.001138

Student ID 3:
Name 1:

Name 2:

0.103

54.06%

Name 3:

0.135

Members:


0.40%
-34.36%
18.70%
3.17%
23.04%
64.58%

E(rP*)
Var(rP*)
(rP*)

9.37%
8.41%
0.117
34.24%

SP*

0.187

(analytical)
y*
Utility (numerical)


0.27
2.88%

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy