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10 views

BSM Notes

jkkj

Uploaded by

saazbjc160200
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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1.

with the portfolio optimization in Portfolio management the


investors can get to know about their personal guidance
whether they invest or not.

2. → Stock Price have taken 10 companies from diff sectors.


3. →ROR = (Final Value - initial Value)/initial value) *100

4. from the ROR-Values, by taking ROR Values we Calculate


descriptive Statistics by using data analysis to find the
mean, median, mode Std. dev. of the ROR.

5. By using Sd. deviation & mean we will know about the


company’s Volatility & risk of respected co. Stocks from
the ROR Calculate avg. Sd. dev. by transposing the avg. &
Std. dev into Columns with simultaneous addition of Equal
weights of a co.’s, from the same ROR Values, we will
Calculate co- variance metrics to know the movement of 2
Variables.

6. We should calculate expected rate of returns & rate of risk


by using weights & avg. To minimize the risk and
maximize the returns from the Expected rate of risk we
apply solver nor the Calculated weights.
REGRESSION LINES, LINE FIT PLOTS & BETA RISK

(Finding the direction and degree of relationship between the company’s closing prices & the
BSE indices closing prices & beta risk)

Regression Lines

A regression line is a straight line that represents the relationship between two variables. It's
often used in statistical analysis to model the linear relationship between a dependent variable (y)
and one or more independent variables (x).

 Simple linear regression: Involves one independent variable.

 Multiple linear regression: Involves multiple independent variables.

In this report we will be using simple linear regression model, to represent the relationship
between the BSE closing price indices (Independent Variable), and each company’s closing
prices of that day (Dependent Variable).

We will also be using Line fit plots and also find the Beta Risk to measure the potential for
model misspecification. It assesses whether the residuals (the errors between the actual values
and the values predicted by the model) are normally distributed.

BY USING THE REGRESSION FUNCTION IN THE DATA ANALYSIS TOOL

WE GET

 Line fit plots for each company which shows how well the regression line fits the data
points.
 Normal probability plots
 Residuals (error between actual and expected value)
 We also get coefficients of intercept and BSE index through which we can form a
regression line equation for each company to interpret the relation.
1. From the ROR by taking BSE indices of closing prices, we
2. calculate simple regression model to know the positive or
negative Correlation
3. From the closing prices of BSE index, we Calculate ROR
of BSE index.
4. → From data analysis, by selecting the Regression we set
Input range of Y axis as ROR of co. closing prices and X
axis as ROR of BSE index
5. By this we can get the beta of risk ten companies
6. → Multiple f- R2-shows the whether the model is a good
fit for the above 70% prediction of not. is a good fit.
7. → Intercept: Intercept always remains Constant
irrespective of its Values.

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