Comprehensive Financial Portfolio Analysis: CAPM and Optimization
VerifiedAdded on 2019/09/18
|8
|958
|255
Project
AI Summary
This project conducts a financial portfolio analysis, examining the performance of Coca-Cola, Exxon Mobil, and Johnson & Johnson stocks. It begins with trend lines and descriptive statistics to understand the historical price movements and key statistical measures like mean, standard deviation, and correlation. The analysis calculates the risk and return of an equally weighted portfolio, including the Sharpe ratio. Beta estimation is performed through regression analysis to assess the stocks' sensitivity to market movements. The Capital Asset Pricing Model (CAPM) is implemented to compute expected returns, and a comparison is made between the mean returns and CAPM-based returns. Finally, the project identifies an optimal portfolio by maximizing the Sharpe ratio and comparing it to the equally weighted portfolio, highlighting the impact of asset allocation on portfolio performance.
Contribute Materials
Your contribution can guide someone’s learning journey. Share your
documents today.
1 out of 8