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    3 Stock Data

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    niranjankv05
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    Copyright:

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    3 views5 pages

    3 Stock Data

    Uploaded by

    niranjankv05

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 5

    month/yeaMicrosoft NordstormStarbucks Microsoft

    Mar-95 12.13% -3.62% 0.52% Average 4.27%


    Apr-95 13.92% -5.68% -2.11% Standard Devia 9.98%
    May-95 3.53% 7.82% 21.24% Variance 0.00995064792
    Jun-95 6.50% -0.30% 20.36%
    Jul-95 0.14% -2.76% 4.80% VAR-COV.VAR-MATRIX
    Aug-95 2.19% 2.77% 6.79%
    Sep-95 -2.19% 1.20% -5.46% Microsoft Nordstorm
    Oct-95 9.98% -11.91% 3.57% Microsoft 0.009950647925 0.00181892108
    Nov-95 -13.78% 6.04% 7.37% Nordstorm 0.001818921083 0.01093248389
    Dec-95 0.72% 3.14% -0.59% Starbucks 0.001111344949 0.00259144705
    Jan-96 5.27% -3.14% -22.61%
    Feb-96 6.47% 14.24% 5.09%
    Mar-96 4.40% 7.08% 27.97%
    Apr-96 9.37% 4.91% 15.15%
    May-96 4.74% 0.49% 0.00%
    Jun-96 1.15% -13.63% 4.06%
    Jul-96 -1.89% -6.98% -8.30%
    Aug-96 3.85% -5.89% 23.08%
    Sep-96 7.37% -2.60% 0.76%
    Oct-96 3.99% -5.23% -1.53%
    Nov-96 13.36% 19.04% 6.33%
    Dec-96 5.20% -20.50% -19.03%
    Jan-97 21.07% 4.65% 17.94%
    Feb-97 -4.51% -0.67% -1.84%
    Mar-97 -6.15% 3.01% -12.67%
    Apr-97 28.15% 3.57% 0.84%
    May-97 2.04% 20.39% 5.30%
    Jun-97 1.90% 2.19% 21.20%
    Jul-97 11.22% 14.45% 5.01%
    Aug-97 -6.72% 3.39% 0.15%
    Sep-97 0.09% 8.59% 1.96%
    Oct-97 -1.76% -4.00% -23.67%
    Nov-97 8.48% -3.50% 5.53%
    Dec-97 -9.06% 2.30% 9.56%
    Jan-98 14.35% -17.12% -4.84%
    Feb-98 12.76% 12.21% 7.89%
    Mar-98 5.45% 10.69% 13.57%
    Apr-98 0.70% 2.51% 6.02%
    May-98 -6.08% 9.84% -0.26%
    Jun-98 24.52% 6.95% 10.73%
    Jul-98 1.43% -21.29% -24.38%
    Aug-98 -13.62% -3.96% -28.27%
    Sep-98 13.73% -19.03% 13.67%
    Oct-98 -3.88% 9.85% 18.12%
    Nov-98 14.18% 31.25% 6.15%
    Dec-98 12.82% -7.13% 19.62%
    Jan-99 23.26% 18.23% -7.51%
    Feb-99 -15.33% -3.17% 1.55%
    Mar-99 17.73% 1.54% 5.97%
    Apr-99 -9.73% -14.98% 27.48%
    May-99 -0.77% 1.13% -0.17%
    Jun-99 11.13% -5.80% 1.85%
    Jul-99 -4.97% -6.35% -47.97%
    Aug-99 7.57% -10.22% -1.63%
    Sep-99 -2.18% -4.75% 8.00%
    Oct-99 2.18% -7.95% 9.27%
    Nov-99 -1.65% 11.22% -2.33%
    Dec-99 24.87% -5.54% -9.11%
    Jan-00 -17.63% -17.90% 27.73%
    Nordstorm Starbucks
    0.15% 2.85%
    10.46% 14.10%
    0.01093248389 0.0198696272

    Starbucks
    0.00111134495
    0.00259144705
    0.01986962722
    MUVEC Microsoft NordstormStarbucks onevec
    4.27% Microsoft 0.009951 0.001819 0.001111 1
    0.15% Nordstorm 0.001819 0.010932 0.002591 1
    2.85% Starbucks 0.001111 0.002591 0.01987 1

    MINIMUM VARIANCE PORTFOLIO

    asset share mvec constrainvar(Rp,m)


    Microsoft m1 44% 1 0.005282
    Nordstormm2 36%
    Starbucks m3 19%

    E[Rp.m] 2.50%
    SD(Rp,m 0.072679

    EFFICIENT PORTFOLIOS
    asset share wvec constrai var(Rp,wtarget return
    Microsoft w1 84% 0.918946 0.008298 0.042712
    Nordstormw2 -17%
    Starbucks w3 25%

    E[Rp.m]
    SD(Rp,m)

    0
    w1 w2 w3 Constraint Target retuExpected RStandard DVar(Rp,w)
    44% 36% 19% 1.00 2.50% 2.50% 7.27% 0.005282
    55% 24% 21% 1.00 3.00% 3.00% 7.44% 0.00553
    66% 11% 23% 1.00 3.50% 3.50% 7.92% 0.006269
    77% -2% 25% 1.00 4.00% 4.00% 8.66% 0.0075
    88% -15% 27% 1.00 4.50% 4.50% 9.60% 0.009223 12.00%

    99% -28% 29% 1.00 5.00% 5.00% 10.69% 0.011437 10.00%


    110% -41% 31% 1.00 5.50% 5.50% 11.89% 0.014144
    121% -53% 33% 1.00 6.00% 6.00% 13.17% 0.017342 8.00%
    Expected Return

    131% -66% 35% 1.00 6.50% 6.50% 14.50% 0.021032


    6.00%
    142% -79% 37% 1.00 7.00% 7.00% 15.88% 0.025214
    153% -92% 39% 1.00 7.50% 7.50% 17.29% 0.029888 4.00%
    164% -105% 41% 1.00 8.00% 8.00% 18.72% 0.035053
    175% -117% 42% 1.00 8.50% 8.50% 20.18% 0.04071 2.00%
    186% -130% 44% 1.00 9.00% 9.00% 21.65% 0.046859
    0.00%
    197% -143% 46% 1.00 9.50% 9.50% 23.13% 0.0535 6.00% 8.00%
    208% -156% 48% 1.00 10.00% 10.00% 24.62% 0.060633
    Efficient Portfolios
    Efficient portfolios Minimum Variance Portfolio
    12.00%

    10.00%

    8.00%
    Expected Return

    6.00%

    4.00%

    2.00%

    0.00%
    6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 20.00% 22.00% 24.00% 26.00%
    Standard Deviation

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