Description
reading the guide and write stock analysis, the guide name is "Portfolio Optimization and Passive Portfolio Management Strategy ".
I upload some knowledge point which you may use, "lecture note chap 5 and 6. If you have problems, you can ask me timely.
After finishing, don't forget worked cited.
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Explanation & Answer
Attached.
Date
Price_FB Price_AAPL Price_KO
1-Jun-17
151,53
153,18
45,79
2-Jun-17
153,61
155,45
45,89
5-Jun-17
153,53
153,93
45,99
6-Jun-17
152,81
154,45
45,98
7-Jun-17
153,12
155,37
45,51
8-Jun-17
154,71
154,45
45,13
9-Jun-17
149,6
155,37
45,32
12-Jun-17
148,44
145,42
45,33
13-Jun-17
150,68
146,59
45,03
14-Jun-17
150,25
145,16
45,3
15-Jun-17
149,8
144,29
45,25
16-Jun-17
150,64
142,27
45,31
19-Jun-17
152,07
146,34
45,38
20-Jun-17
152,25
145,01
45,61
21-Jun-17
153,91
145,87
45,22
22-Jun-17
153,4
145,63
45,07
23-Jun-17
155,07
146,28
45,25
Mean
152,0835 149,1211765 45,43294
R_Mean
R_FB
R_AAPL R_KO
0,013633
-0,000521
-0,004701
0,002027
0,01033
-0,033587
-0,007784
0,014978
-0,002858
-0,003
0,005592
0,009448
0,001183
0,010844
-0,003319
0,010828
0,01471
-0,009826
0,003372
0,005939
-0,005939
0,005939
-0,066183
0,008013
-0,009803
-0,006011
-0,014099
0,028206
-0,00913
0,005913
-0,001647
0,004453
0,002182
0,002177
-0,000217
-0,010274
-0,008385
0,004201
0,000221
-0,00664
0,005978
-0,001104
0,001325
0,001544
0,005056
-0,008588
-0,003323
0,003986
0,001443 -0,002881 -0,000741
ER_FB
0,012190298
-0,001963935
-0,006143668
0,000583608
0,008887469
-0,035030331
-0,009227229
0,013534547
-0,004300809
-0,004442502
0,004148813
0,008005057
-0,000260035
0,009401109
-0,004762127
0,009384739
ER_AAPL ER_KO
0,01759
-0,006946
0,006252
0,008819
-0,003059
0,008819
-0,063303
0,010893
-0,006923
-0,003131
-0,011219
0,031086
-0,00625
0,001233
0,001233
0,007333
0,002922
0,002917
0,000523
-0,009534
-0,007645
0,004941
0,000961
-0,0059
0,006718
-0,000364
0,002065
0,002284
0,005796
-0,007848
-0,002583
0,004726
ERt=Rt-Rmean
FB
AAPL
KO
STD DEV
0,011786
0,019889
0,005201
MEAN RETURN
0,001443
-0,00288
-0,00074
Calculating standard deviations
VARIANCE-CO-VARIANCE MATRIX
R_FB
R_AAPL
R_KO
R_FB
0,000138914 6,08267E-05 -2,18469E-05
R_AAPL
6,08267E-05 0,000395564 -7,98543E-06
R_KO
-2,18469E-05 -7,98543E-06 2,70491E-05
VAR (AAPL) = 0.000395564, Standard Deviation for AAPL = Sqrt (0.000395564) = 0.01
VAR (FB) = 0.000138914, Standard Deviation for FB = Sqrt (0.000138914) = 0.01178
VAR (KO) = 2.70491E-05, Standard Deviation for KO =Sqrt(2.70491E-05) = 0.005
Constant
Asset 1
Asset 2
Asset 3
W on FB
W on AAPL
W on KO
Total
Concept of Investment Opportunity Set
Take 0.00133 as first constant. Monthly free-risk = 0.133%
0,00133
0,1
Portfolio 1
Portfolio 2
0,333
0,333
Taking equal weights for t
0,333
0,333
0,333
0,333
0,999
0,999
Max
Min
0.000395564) = 0.019888879
00138914) = 0.011786183
.70491E-05) = 0.005201
.133%
g equal weights for the initial weights of the stock
Monthly
FB
AAPL
KO
Annual
Std Dev
0,011786
0,019889
0,005201
MEAN RETURN
0,001443
-0,00288
-0,00074
FB
AAPL
KO
Std Dev
MEAN RETURN
Constant
Asset 1
Asset 2
Asset 3
0,00133
0,1
Portfolio 1
Portfolio 2
W on FB
0,3333
0,3333
W on AAPL
0,3333
0,3333
W on KO
0,3333
0,3333
Total
1
1
Max
Min
Portfolio Mean
Portfolio Variance
Portfolio Standard Deviation
Covariance
Correlation
Sharpe Ratio
Monthly
FB
AAPL
KO
-0,000725594 -0,000725594
7,11635E-05 7,11635E-05
0,008435849 0,008435849
7,11635E-05
1
-0,243673657 -11,94018503
Using the Solver Function
Constant
Asset 1
Asset 2
Asset 3
0,00133
0,01
Portfolio 1
Portfolio 2
W on FB
1
-1,2452
W on AAPL
-0,3333
1,5919
W on KO
0,3333
0,6533
Total
1
1
Max
Min
Portfolio Mean
Portfolio Variance
Portfolio Standard Deviation
Covariance
Correlation
Sharpe Ratio
0,002156262 -0,006864938
0,000130552 0,001022001
0,011425922 0,031968744
-0,000252704
-0,69182225
1
-1,2452
W1
-1
-0,9
-0,8
-0,7
-0,6
-0,5
-0,4
-0,3
-0,2
-0,1
0
0,1
0,2
0,3
0,4
0,5
0,6
Portfolio mean =(0.1 x0.002156262) + (0.9x-0.006864938) =
Portfolio Variance =
{(0.1x0.1143)^2 +(0.9x0.03197)^2 + 2(0.1 x0.9)x
(-0.6918x0.1143x0.03197) = 0.000503368
Portfolio standard deviation = SQRT(0.000503368) =
Investing in on risky
W2
0,8
...