Computing beta of portfolio by using betas


1) It must be between august 2003 and September 2013. Person who know excel and investment analysis can do it.

This part of project needs you to evaluate betas of your individual stocks and your optimal portfolio. You are needed to do the given questions below in preparing this phase of project.

i) By using whole data set and monthly excess returns evaluate the betas of your individual stocks with regression analysis.

ii) For whole data period, compute the monthly returns on your optimal portfolio. By using this return series evaluate the beta of this portfolio with regression analysis.

2) Compute beta of portfolio by using betas and weights of individual stocks in your portfolio. Contrast this figure with the one computed previously. Are they different? Explain why?

3) Decompose variances of individual stocks and portfolio into systematic and unsystematic risk by using betas you have estimated and ISE-100 as your market portfolio.

4) Divide total sample into two equal sub-periods. Compute beta of your stocks and your optimal portfolio. Is there any change in these values over time? Describe in detail.

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Finance Basics: Computing beta of portfolio by using betas
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