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  • Secuirty C Security A Security B: All Three Security Portfolio (ABC) 4.21%

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    Parth Poddar
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    This document contains information about the expected returns, probabilities, variances, covariances, and betas for three securities (A, B, C) and their portfolio combinations. It shows that a three-security portfolio (ABC) has an expected return of 4.21% and total risk of 0.42%. A two-security portfolio of A and B has an expected return of 3.57% and total risk of 0.39%. It also provides the variances, covariances, and betas for each individual security and their relationships to the market.

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    good analysis of sapm

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    sapm analysis

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    This document contains information about the expected returns, probabilities, variances, covariances, and betas for three securities (A, B, C) and their portfolio combinations. It shows that a three-security portfolio (ABC) has an expected return of 4.21% and total risk of 0.42%. A two-security portfolio of A and B has an expected return of 3.57% and total risk of 0.39%. It also provides the variances, covariances, and betas for each individual security and their relationships to the market.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
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    Download as xlsx, pdf, or txt
    11 views5 pages

    Secuirty C Security A Security B: All Three Security Portfolio (ABC) 4.21%

    Uploaded by

    Parth Poddar
    This document contains information about the expected returns, probabilities, variances, covariances, and betas for three securities (A, B, C) and their portfolio combinations. It shows that a three-security portfolio (ABC) has an expected return of 4.21% and total risk of 0.42%. A two-security portfolio of A and B has an expected return of 3.57% and total risk of 0.39%. It also provides the variances, covariances, and betas for each individual security and their relationships to the market.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
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    Download as xlsx, pdf, or txt
    of 5

    Security A

    Prob.
    0.4
    0.3
    0.3

    Security B

    Return (%)
    0.0167
    0.02
    0.018

    Prob.
    0.3
    0.3
    0.4

    A
    B
    Expected Return
    0.01808
    Market cap
    55
    weights
    0.5
    All three security portfolio (ABC)
    Portfolio return
    4.21%
    A
    SD
    Variance (total risk)
    weights
    Beta
    Systematic risk
    Unsystematic risk
    Portfolio beta
    Portfolio systematic
    Portfolio unsys
    Total P.Var
    P.Risk

    0.001367333
    1.8696E-06
    0.5
    0.007831715
    1.89528E-08
    1.85065E-06

    Return (%)

    0.2
    0.3
    0.5

    Market
    0.099

    0.0885
    20
    0.181818182

    C
    0.00775951
    0.00006021
    0.318181818
    -0.188673139
    1.09996E-05
    4.92104E-05

    -0.068963421
    1.46959E-06
    1.58152E-05
    1.72848E-05 Coefficient of Variance
    0.42%
    0.0988

    Two-security portfolio (AB)


    Portfolio return (AB)
    3.57%
    Portfolio beta (AB)
    -0.090420712
    P.S.Risk
    2.52635E-06
    P.U.R
    1.27653E-05
    Port var
    1.52916E-05 Coefficient of Variance
    Port risk
    0.39%
    0.109567057

    Prob.

    0.05
    0.065
    0.047

    0.0533
    35
    0.318181818

    Secuirty C

    Market
    0.017755281 0.017578
    0.00031525 0.000309
    0.181818182
    -0.070658037
    1.5427E-06
    0.000313707

    Secuirty C
    Market
    Return
    Return
    Prob.
    (%)
    (%)
    0.07
    0.3
    0.08
    0.115
    0.3
    0.09
    0.08
    0.4
    0.12

    R-ER
    -0.00138
    0.00192
    -8E-05

    (R-ER)^2
    1.9044E-06
    3.6864E-06
    6.4E-09
    Variance
    SD

    P*(R-ER)^2
    7.6176E-07
    1.10592E-06
    1.92E-09
    1.8696E-06
    0.001367333

    R-ER
    -0.0033
    0.0117
    -0.0063

    (R-ER)^2
    1.089E-05
    0.0001369
    3.969E-05
    Variance
    SD

    P*(R-ER)^2
    3.267E-06
    0.000041067
    0.000015876
    0.00006021
    0.00775951

    R-ER

    (R-ER)^2

    Market

    P*(RER)^2

    -0.0185 0.000342 6.845E-05


    0.0265 0.000702 0.00021068
    -0.0085 7.22E-05 3.6125E-05
    Variance 0.00031525
    SD
    0.01775528

    R-ER

    (R-ER)^2

    -0.019 0.000361
    -0.009
    8.1E-05
    0.021 0.000441
    Variance
    SD

    Market

    Covariances

    P*(R-ER)^2
    0.000108300
    0.000024300
    0.000176400
    0.000309000
    0.017578396

    AB

    Covar
    Correl

    4.554E-06
    0.000022464
    5.04E-07

    BC
    6.105E-05
    0.00031005
    0.00005355

    9.174E-06 Covar
    0.864669365 Correl

    0.00014155 Covar
    1.02741999 Correl

    AC
    2.55E-05
    5.09E-05
    6.8E-07
    2.57E-05
    1.058461

    Covariances
    M,A
    M,B
    M,C
    0.00002622 6.27E-05 0.000352
    -0.00001728 -0.00011 -0.00024
    -0.00000168 -0.00013 -0.00018
    Covar
    Beta

    2.42E-06
    0.007831715

    -5.8E-05
    -0.18867

    -2.2E-05
    -0.07066

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