Question

DI. JUUSUIINUS Name Ryan Conniff Answer each of the problems below using the information provided and SHOW YOUR WORK FOR ALL PROBLEMS. Use this data for problems 1-2. The annual returns for securities A, B, C, D and the Market (S&P 500) are shown below. Remember to show all calculations. t - A, % B, % C, % D, % Mkt, % 1 18.56 18.23 8.43 12.43 12.28 2 12.34 5.24 3.12 13.45 5.99 14.12 14.71 12.58 -4.32 12,41 4 -1.57 -6.56 3.87 -8.54 1-4.48 5 -3.12 9.12 1.45 12.21 12.34 6 -8.28 -7.43 -6.59 4.91 -13.41 1-,0659 1. Calculate the geometric return of security C. 5 points) Show your work (1,0843) + (1,0312) x 1.1258) (1.0387)x(110145)×(19341) - 1 1/6 1,23905094 = 1,036380065 -1 € 2. You decide to create a two-stock portfolio of stocks A and D. Calculate the covariance between the two stocks and the variance of each stock. Use this information to determine the expected return and standard deviation of the minimum variance portfolio between the two securities. (10 points) Show your work Extra workspace min var = was (67 - Cov) 1(84 - 5 -2 LOVAB). wa = (38,5629555 D 2,842100 /(100: 94/62130 88.56515559 -2/88,562 18 1,843,36 16 1634-187,1255111 7,840,515904 Elf) = Warat Woort 1,666.236105 ? (1.0222334 26) (5,3417) +6.02273342913,3867) wa = 1.022733428 2,463032884 +(-1076989051) wore - 022133429 X El) = 5,386643853 52=00282 * W6²62/Lovab) (wa) (46) 2 (1.02273342) C100.9463393+ (-102273342 43(86,56 22555759 ta (2,845760048) (1.022733429) (100,94 68139) 10, 658,84472+ 4,053518288 + 587,5890122 =106,0683114 X

Can I get Help with number two please?

Answer 1

C А В 1 0.1856 2 0.1243 0.1234 0.1345 4 0.1412 -0.0432 0.0157 -0.0854 0.0312 0.1221 0.0828 0.0491 7 9 D 10 Average return 11 Covariance 5.34% 5.02% 0.002187 0.012114 0.008976 12 variance 13 14 minimum variance portfolio 15 D 16 in minimum variance portfolio 17 expected return 18 standard deviation 40.61% 59.39% 5.15% 7.89% 19

A B 1 A 2 0.1856 0.1234 4 0.1412 0.0157 5 |-0.0312 6 7 -0.0828 10 Average return 11 covariance -AVERAGE (B2:B7) ((B2-B10)*(C2-C10)) + (B3-B10) * (C3-C10))+((B4-B10) *(C4-C10)) +((B5-B10)*(C5-C10))+ (B6-B10) * ( C6-C10)) +( (B7-B10)*(C7-C10)))/(6-1) ((B2-B10)^2)+((B3-B10)^2)+( (B4-B10)^2) +(B5-B10)^2)+((B6-B10)^2)+((B7-B10)^2) )/(6-1) 12 variance 13 14 minimum variance portfolio 15 A (C12-B11)/(B12+C12-(2*B11)) (B16 B10)+(C16*C10) SQRT((B16*B16*B12)+ (C16* C16*C12)+(2 * B16*C16*B11)) 16 % in minimum variance portfolio 17 expected return 18 standard deviation 19 20

C 1 D 2 0.1243 3 0.1345 4 -0.0432 5 -0.0854 6 0.1221 7 0.0491 8 9 D 10 AVERAGE(C2:C7) 11 12 (((C2-C10)^2)+((C3-C10)^2)+((C4-C10)^2)+((C5-C10)^2)+((C6-C10)^2)+((C7-C10)^2))/(6-1) 13 14 15 D 16 1-B16 17