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Computing Optimal Portfolio of Stocks: 12

   

Added on  2020-04-13

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Running head: FINANCIAL MODELLINGFinancial ModellingName of the Student:Name of the University:Authors Note:
Computing Optimal Portfolio of Stocks: 12_1

FINANCIAL MODELLING1Table of Contents1. Computing mean, variance and standard deviation of monthly returns:...............................22. Computing beta of stocks:......................................................................................................23. Computing covariance matrix of the stocks:..........................................................................54. Computing two envelope portfolios:......................................................................................55. Plotting optimal portfolio in graph:........................................................................................86. Computing mean, variance and beta of monthly returns of the portfolio:.............................87. Computing optimum portfolio with short sale constraint:.....................................................98a. Computing binomial model for the stock:............................................................................98b. Computing option using Black Scholes model:...................................................................98c. Computing percentage error:..............................................................................................109. Plotting graph with a pout strategy:.....................................................................................11Bibliography:............................................................................................................................12
Computing Optimal Portfolio of Stocks: 12_2

FINANCIAL MODELLING21. Computing mean, variance and standard deviation of monthly returns:ParticularsAmazon.com, IncAmericanExpress Co AppleIncMacy'sIncUnited HealthGroup IncMonthly Mean2.620%0.899%1.382%-0.838%2.435%Monthly Variance 0.0055 0.0035 0.0048 0.0093 0.0019 Monthly Standarddeviation 0.0740 0.0590 0.0693 0.0965 0.0439 2. Computing beta of stocks:DateAmazon.com,IncAmericanExpressCo AppleIncMacy'sIncUnitedHealthGroup IncS&P500PortfolioReturns01-01-135.67%2.29%-15.56%1.25%1.77%4.92%7.74%01-02-13-0.46%5.52%-3.14%3.95%-3.24%1.10%-12.61%01-03-130.84%8.20%0.29%1.78%6.80%3.54%8.08%01-04-13-4.88%1.40%0.03%6.39%4.64%1.79%1.71%01-05-135.89%10.14%1.56%8.05%4.41%2.06%-0.46%01-06-133.11%-1.26%-12.59%-0.71%4.45%-1.51%15.01%01-07-138.13%-1.33%13.21%0.71%10.67%4.83%23.61%01-08-13-6.96%-2.55%7.39%-8.43%-1.54%-3.18%-0.62%01-09-1310.68%4.90%-2.17%-2.65%-0.18%2.93%4.30%01-10-1315.22%7.99%9.20%6.36%-4.79%4.36%-14.13%01-11-137.81%4.77%6.19%14.42%8.72%2.77%7.18%01-12-131.30%5.59%0.89%0.26%1.09%2.33%-0.97%01-01-14-10.60%-6.50%-11.39%-0.38%-4.09%-3.62%-6.87%01-02-140.95%7.10%5.00%8.40%6.68%4.22%2.68%01-03-14-7.37%-1.38%1.98%2.44%5.93%0.69%7.32%01-04-14-10.08%-2.93%9.48%-3.19%-8.86%0.62%-21.50%01-05-142.73%4.55%7.02%4.19%5.94%2.08%6.23%01-06-143.84%3.62%2.73%-3.17%2.63%1.89%6.81%01-07-14-3.70%-7.52%2.83%-0.40%-0.86%-1.52%0.72%01-08-147.99%1.75%6.97%7.50%6.72%3.70%9.85%01-09-14-5.02%-2.27%-1.72%-6.83%-0.50%-1.56%3.24%01-10-14-5.41%2.72%6.95%-0.62%9.67%2.29%14.62%01-11-1410.31%2.71%9.64%11.57%3.74%2.42%0.63%01-12-14-8.72%0.67%-7.46%1.29%2.46%-0.42%1.13%01-01-1513.31%-14.24%5.96%-2.89%4.98%-3.15%26.71%01-02-156.98%1.11%9.21%-0.25%6.72%5.34%14.87%
Computing Optimal Portfolio of Stocks: 12_3

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