Portfolio variance for various combinations of stocks


Problem:

Year    Stock A    Stock B
1998    .3    .1
1999    .0    .0
2000    .5    .1
2001    .2    .3
2002    .3    .3
2003    -.2    -.1
2004    .5     .0
2005    .1     .2
2006    -.1    .2
2007    .4      .3
E(R)    .20    .14
Sigma .232  .136

1) Prepare a plot showing in the portfolio variance for various combinations of Stocks A and B

2) Find the minimum variance portfolio

3) Find the proportions of Stocks A and B that constitute a portfolio with the same risk as Stock B alone.

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Finance Basics: Portfolio variance for various combinations of stocks
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