Tutorial question 1

Consider the following common stock and T-bill returns for the period 2001-2007:

Year Common T-Bills

Stocks
2001 32.60% 12.00%
2002 -5% 15.20%
2003 21.70% 11.30%
2004 22.60% 8.90%
2005 6.20% 10%
2006 31.90% 7.70%
2007 18.70% 6.20%

a)      Calculate the observed risk premium in each year for the common stocks.
b)      Calculate the average returns and the average risk premium over this period.
c)      Calculate the standard deviation of returns and the standard deviation of
the risk premium.

Tutorial question 2

With the data-file find the following:

(i) The daily percentage changes for each data item.
(ii) The mean daily return for each data item.
(iii) The standard deviation and variance of daily returns for each data item.

S&P 500
GENERAL MICROSOF FTSE 100 -
Name COMPOSITE -
MOTORS T PRICE INDEX
PRICE INDEX
Code S&PCOMP GM MSFT FTSE100
1/2/2008 1447.16 24.41 35.22 6456.9
1/3/2008 1447.16 23.92 35.37 6416.7
1/4/2008 1411.63 23.65 34.38 6479.4
1/7/2008 1416.18 23.66 34.61 6348.5
1/8/2008 1390.19 23.3 33.45 6335.7
1/9/2008 1409.13 22.78 34.44 6356.5
1/10/2008 1420.33 23.68 34.33 6272.7
1/11/2008 1401.02 23.5 33.91 6222.7
1/14/2008 1416.25 23.69 34.39 6202
1/15/2008 1380.95 22.28 34 6215.7
1/16/2008 1373.2 22.85 33.23 6025.6
1/17/2008 1333.25 22.84 33.11 5942.9
1/18/2008 1325.19 23.52 33.01 5902.4
1/22/2008 1310.5 23.65 31.96 5901.7
1/23/2008 1338.6 25.7 31.93 5578.2
1/24/2008 1352.07 25.62 33.25 5740.1
1/25/2008 1330.61 25.79 32.94 5609.3
1/28/2008 1353.96 26.53 32.72 5875.8
1/29/2008 1362.3 27.21 32.6 5869
1/30/2008 1355.81 27.46 32.2 5788.9
1/31/2008 1378.55 28.21 32.6 5885.2
2/1/2008 1395.42 28.98 30.45 5837.3
2/4/2008 1380.82 27.57 30.19 5879.8
2/5/2008 1336.64 26.47 29.07 6029.2
2/6/2008 1326.45 25.71 28.52 6026.2
2/7/2008 1336.91 26.3 28.12 5868
2/8/2008 1331.29 25.8 28.56 5875.4
2/11/2008 1339.13 27.12 28.21 5724.1
2/12/2008 1348.86 26.6 28.34 5784
2/13/2008 1367.21 26.46 28.96 5707.7
2/14/2008 1348.86 25.82 28.5 5910
2/15/2008 1349.99 26.13 28.42 5880.1
2/19/2008 1348.78 26 28.17 5879.3
2/20/2008 1360.03 25.54 28.22 5787.6
2/21/2008 1342.53 24.3 28.1 5966.9
2/22/2008 1353.11 24.08 27.68 5893.6
2/25/2008 1371.8 24.2 27.84 5932.2
2/26/2008 1381.29 24.58 28.38 5888.5
2/27/2008 1380.02 24.82 28.26 5999.5
2/28/2008 1367.68 24.5 27.93 6087.4
2/29/2008 1330.63 23.28 27.2 6076.5
3/3/2008 1331.34 23.2 26.99 5965.7
3/4/2008 1326.75 23.07 27.59 5884.3
3/5/2008 1333.7 22.97 28.12 5818.6
3/6/2008 1304.34 22.35 27.57 5767.7
3/7/2008 1293.37 21.96 27.87 5853.5
3/10/2008 1273.37 20.89 28.05 5766.4
3/11/2008 1320.65 21.77 29.28 5699.9
3/12/2008 1308.77 20.93 28.63 5629.1
3/13/2008 1315.48 20.31 28.62 5690.4
3/14/2008 1288.14 19.22 27.96 5776.4
3/17/2008 1276.6 17.83 28.3 5692.4
3/18/2008 1330.74 19.41 29.42 5631.7
3/19/2008 1298.42 19.03 28.62 5414.4
3/20/2008 1329.51 19.5 29.18 5605.8
3/24/2008 1349.88 20.38 29.17 5545.6
3/25/2008 1352.99 20.35 29.14 5495.2
3/26/2008 1341.13 19.48 28.56 5689.1
3/27/2008 1325.76 19.26 28.05 5660.4
3/28/2008 1315.22 18.67 27.91 5717.5
3/31/2008 1322.7 19.05 28.38 5692.9
 4/1/2008 1370.18 20.15 29.5 5702.1
4/2/2008 1367.53 20.97 29.16 5852.6
4/3/2008 1369.31 21.59 29 5915.9
4/4/2008 1370.4 20.58 29.16 5891.3
4/7/2008 1372.54 21.01 29.16 5947.1
4/8/2008 1365.54 20.98 28.75 6014.8
4/9/2008 1354.49 20.13 28.89 5990.2
4/10/2008 1360.55 20.17 29.11 5983.9
4/11/2008 1332.83 19.62 28.28 5965.1
4/14/2008 1328.32 19 28.06 5895.5
4/15/2008 1334.43 19.12 28.25 5831.6
4/16/2008 1364.71 19.9 28.95 5906.9
4/17/2008 1365.56 19.79 29.22 6046.2
4/18/2008 1390.33 20.13 30 5980.4
4/21/2008 1388.17 21.27 30.42 6056.5
4/22/2008 1375.94 20.51 30.25 6053
4/23/2008 1379.93 20.94 31.45 6034.7
4/24/2008 1388.82 22.11 31.8 6083.6
4/25/2008 1397.84 21.38 29.83 6050.7
4/28/2008 1396.37 21.94 28.99 6091.4
4/29/2008 1390.94 21.2 28.64 6090.4
4/30/2008 1385.59 23.2 28.52 6089.4
5/1/2008 1409.34 23.19 29.4 6087.3
5/2/2008 1413.9 23.2 29.24 6087.3
5/5/2008 1407.49 22.36 29.08 6215.5
5/6/2008 1418.26 22.34 29.7 6215.2
5/7/2008 1392.57 21.4 29.21 6261
5/8/2008 1397.68 21.15 29.27 6270.8
5/9/2008 1388.28 20.29 29.39 6204.7
5/12/2008 1403.58 20.76 29.99 6220.6
5/13/2008 1403.04 20.2 29.78 6211.9
5/14/2008 1408.66 20.19 29.93 6216
5/15/2008 1423.57 21.23 30.45 6251.8
5/16/2008 1425.35 20.68 29.99 6304.3
5/19/2008 1426.63 20.87 29.46 6376.5
5/20/2008 1413.4 19.86 28.76 6191.6
5/21/2008 1390.71 19.12 28.25 6198.1
5/22/2008 1394.35 18.43 28.47 6181.6
5/23/2008 1375.93 17.6 28.05 6087.3
5/27/2008 1385.35 17.42 28.44 6058.5
5/28/2008 1390.84 17.15 28.18 6069.6
5/29/2008 1398.26 17.38 28.31 6068.1
5/30/2008 1400.38 17.1 28.32 6053.5
6/2/2008 1385.67 17.44 27.8 6007.6
6/3/2008 1377.65 17.58 27.31 6057.7
6/4/2008 1377.2 17.01 27.54 5970.1
6/5/2008 1404.05 17.05 28.3 5995.3
6/6/2008 1360.68 16.22 27.49 5906.8
 6/9/2008 1361.76 16.48 27.71 5877.6
6/10/2008 1358.44 16.81 27.89 5827.3
6/11/2008 1335.49 16.12 27.12 5723.3
6/12/2008 1339.87 15.76 28.24 5790.5
6/13/2008 1360.03 16.45 29.07 5802.8
6/16/2008 1360.14 16.23 28.93 5794.6
6/17/2008 1350.93 15.82 28.8 5861.9
6/18/2008 1337.81 14.89 28.46 5756.9
6/19/2008 1342.83 14.79 28.93 5708.4
6/20/2008 1317.93 13.79 28.23 5620.8
6/23/2008 1318 12.91 27.97 5667.2
6/24/2008 1314.29 13.19 27.73 5634.7
6/25/2008 1321.97 12.81 28.35 5666.1
6/26/2008 1283.15 11.43 27.75 5518.2
6/27/2008 1278.38 11.55 27.63 5529.9
6/30/2008 1280 11.5 27.51 5625.9
7/1/2008 1284.91 11.75 26.87 5479.9
7/2/2008 1261.52 9.98 25.88 5426.3
7/3/2008 1262.9 10.12 25.98 5476.6
7/7/2008 1252.31 10.24 26.03 5512.7
7/8/2008 1273.7 10.78 25.85 5440.5
7/9/2008 1244.69 10.33 25.23 5529.6
7/10/2008 1253.39 9.69 25.45 5406.8
7/11/2008 1239.49 9.92 25.25 5261.6
7/14/2008 1228.3 9.38 25.15 5300.4
7/15/2008 1214.91 9.84 26.15 5171.9
7/16/2008 1245.36 11.48 27.26 5150.6
7/17/2008 1260.32 12.85 27.52 5286.3
7/18/2008 1260.68 13.18 25.86 5376.4
7/21/2008 1260 13.09 25.64 5404.3
7/22/2008 1277 14.32 25.8 5364.1
7/23/2008 1282.19 14.62 26.43 5449.9
7/24/2008 1252.54 13 25.44 5362.3
7/25/2008 1257.76 11.9 26.16 5352.6
7/28/2008 1234.37 11 25.5 5312.6
7/29/2008 1263.2 11.9 26.11 5319.2
7/30/2008 1284.26 11.4 26.23 5420.7
7/31/2008 1267.38 11.07 25.72 5411.9
8/1/2008 1260.31 10.23 25.44 5354.7
8/4/2008 1249.01 10.1 25.28 5320.2
8/5/2008 1284.88 10.69 26.21 5454.5
8/6/2008 1289.19 10.25 27.02 5486.1
8/7/2008 1266.07 9.75 27.39 5477.5
8/8/2008 1296.32 10.03 28.13 5489.2
8/11/2008 1305.32 10.76 27.9 5541.8
8/12/2008 1289.59 11.1 28.12 5534.5
8/13/2008 1285.83 10.26 27.91 5448.6
8/14/2008 1292.93 11.35 27.91 5497.4
 8/15/2008 1298.2 11.18 27.81 5454.8
8/18/2008 1278.6 10.36 27.69 5450.2
8/19/2008 1266.69 9.95 27.32 5320.4
8/20/2008 1274.54 10.16 27.29 5371.8
8/21/2008 1277.72 9.92 27.18 5370.2
8/22/2008 1292.2 10.44 27.84 5505.6
8/25/2008 1266.84 10.13 27.66 5470.7
8/26/2008 1271.51 10.04 27.27 5528.1
8/27/2008 1281.66 10.2 27.56 5601.2
8/28/2008 1300.68 10.34 27.94 5636.6
8/29/2008 1282.83 10 27.29 5602.8
9/2/2008 1277.58 10.65 27.1 5620.7
9/3/2008 1274.98 11.27 26.9 5499.7
9/4/2008 1236.83 10.68 26.35 5362.1
9/5/2008 1242.31 10.71 25.65 5240.7
9/8/2008 1267.79 10.83 26.12 5446.3
9/9/2008 1224.51 10.76 26.1 5415.6
9/10/2008 1232.04 11.42 26.44 5366.2
9/11/2008 1249.05 12.75 27.34 5318.4
9/12/2008 1251.7 13.01 27.62 5416.7
9/15/2008 1192.7 11.44 26.82 5204.2
9/16/2008 1213.6 10.84 25.99 5025.6
9/17/2008 1156.39 9.93 24.57 4912.4
9/18/2008 1206.51 11.4 25.26 4880
9/19/2008 1255.08 13.08 25.16 5311.3
9/22/2008 1207.09 11.58 25.4 5236.3
9/23/2008 1188.22 10.72 25.44 5136.1
9/24/2008 1185.87 10.35 25.72 5095.6
9/25/2008 1209.18 10.03 26.61 5197
9/26/2008 1213.27 9.76 27.4 5088.5
9/29/2008 1106.42 8.51 25.01 4818.8
9/30/2008 1164.74 9.45 26.69 4902.5
10/1/2008 1161.06 9.45 26.48 4959.6
10/2/2008 1114.28 9.03 26.25 4870.3
10/3/2008 1099.23 9 26.32 4980.3
10/6/2008 1056.89 8.48 24.91 4589.2
10/7/2008 996.23 7.56 23.23 4605.2
10/8/2008 984.94 6.91 23.01 4366.7
10/9/2008 909.92 4.76 22.3 4313.8
10/10/2008 899.22 4.89 21.5 3932.1
10/13/2008 1003.35 6.51 25.5 4256.9
10/14/2008 998.01 6.54 24.1 4394.2
10/15/2008 907.84 6.22 22.66 4079.6

Tutorial question 3
Required:
(i) Fill in this missing gaps
(ii) Obtain the weights that minimise the variance of the portfolio when the correlation coefficie

Asset A Asset B
ER= 9 21
sd= 11 22

corr=+1 corr=+0 corr=-1

Expected
Percent in A Percent in B Return sd sd sd
100.00% 0.00% 9 11.00 11.00
90.00% 10.14
80.00% 20.00% 13.20 9.84
70.00% 30.00% 12.6 14.30
60.00% 40.00% 13.8 15.40
50.00% 15 12.30 5.50
40.00% 60.00% 13.91 8.80
30.00% 70.00% 18.70 15.75 12.10
20.00% 18.6 19.80
10.00% 90.00% 20.90
0.00% 100.00% 21 22.00 22.00 22.00

Tutorial Question 4
Required:
(i) Compute the average monthly return and the standard deviation of monthly returns for eac
(ii) Compute 3 possible correlations— corr(SEE,S&P), corr (SEE,DAX) and corr (S&P,DAX) res
(iii) Choose two stocks that have the lowest correlation. Find the expected return and standar
(iv)Graph your portfolio expected return against standard deviation. Identify the efficient portf
(v) Using the minimum variance portfolio equation find the minimum variance portfolio.

Name SH Comp S&P500-US Dax-Germany

Code SEE S&P500 Dax
1/3/2006 5674.15 1280.08 1258.05
2/1/2006 5796.04 1280.66 1299.03
3/1/2006 5970.08 1294.87 1298.3
4/3/2006 6009.89 1310.61 1440.22
5/2/2006 5692.86 1270.09 1641.3
6/1/2006 5683.31 1270.2 1672.21
7/3/2006 5681.97 1276.66 1612.73
8/1/2006 5859.57 1303.82 1658.64
9/1/2006 6004.33 1335.85 1752.42
10/2/2006 6268.92 1377.94 1837.99
11/1/2006 6309.19 1400.63 2099.29
12/1/2006 6596.92 1418.3 2675.47
1/2/2007 6789.11 1438.24 2786.33
2/1/2007 6715.44 1406.82 2881.07
3/1/2007 6917.03 1420.86 3183.98
4/2/2007 7408.87 1482.37 3841.27
5/1/2007 7883.04 1530.62 4109.65
6/1/2007 8007.32 1503.35 3820.7
7/2/2007 7584.14 1455.27 4471.03
8/1/2007 7638.17 1473.99 5218.83
9/3/2007 7861.51 1526.75 5552.3
10/1/2007 8019.22 1549.38 5954.77
11/1/2007 7870.52 1481.14 4871.78
12/3/2007 7994.07 1504.66 5035.07
2001-2007:

this period.
n the correlation coefficient is 0 and when it is -1.

f monthly returns for each data item.

) and corr (S&P,DAX) respectively.
ected return and standard deviation of returns for various portfolios formed between your two stocks.
dentify the efficient portfolio set.
variance portfolio.
ween your two stocks.
Tutorial question 1

Year Common T-Bills risk

Stocks premium
2001 32.60% 12.00% 20.60%
2002 -5% 15.20% -20.20%
2003 21.70% 11.30% 10.40%
2004 22.60% 8.90% 13.70%
2005 6.20% 10% -3.80%
2006 31.90% 7.70% 24.20%
2007 18.70% 6.20% 12.50%
Avg= 18.39% 10.19% 8.20%
SD= 13.59% 2.98% 15.35%

Tutorial question 2

S&P 500
Name COMPOSITE
- PRICE S&P 500 GENERAL GM MICRO Microsoft
INDEX Return MOTORS Return SOFT Return
Code S&PCOMP GM MSFT
1/2/2008 1447.16 24.41 35.22
1/3/2008 1447.16 0 23.92 -0.0201 35.37 0.0043
1/4/2008 1411.63 -0.0246 23.65 -0.0113 34.38 -0.0280
1/7/2008 1416.18 0.0032 23.66 0.0004 34.61 0.0067
1/8/2008 1390.19 -0.0184 23.3 -0.0152 33.45 -0.0335
1/9/2008 1409.13 0.0136 22.78 -0.0223 34.44 0.0296
1/10/2008 1420.33 0.0079 23.68 0.0395 34.33 -0.0032
1/11/2008 1401.02 -0.0136 23.5 -0.0076 33.91 -0.0122
1/14/2008 1416.25 0.0109 23.69 0.0081 34.39 0.0142
1/15/2008 1380.95 -0.0249 22.28 -0.0595 34 -0.0113
1/16/2008 1373.2 -0.0056 22.85 0.0256 33.23 -0.0226
1/17/2008 1333.25 -0.0291 22.84 -0.0004 33.11 -0.0036
1/18/2008 1325.19 -0.0060 23.52 0.0298 33.01 -0.0030
1/22/2008 1310.5 -0.0111 23.65 0.0055 31.96 -0.0318
1/23/2008 1338.6 0.0214 25.7 0.0867 31.93 -0.0009
1/24/2008 1352.07 0.0101 25.62 -0.0031 33.25 0.0413
1/25/2008 1330.61 -0.0159 25.79 0.0066 32.94 -0.0093
1/28/2008 1353.96 0.0175 26.53 0.0287 32.72 -0.0067
1/29/2008 1362.3 0.0062 27.21 0.0256 32.6 -0.0037
1/30/2008 1355.81 -0.0048 27.46 0.0092 32.2 -0.0123
1/31/2008 1378.55 0.0168 28.21 0.0273 32.6 0.0124
2/1/2008 1395.42 0.0122 28.98 0.0273 30.45 -0.0660
2/4/2008 1380.82 -0.0105 27.57 -0.0487 30.19 -0.0085
2/5/2008 1336.64 -0.0320 26.47 -0.0399 29.07 -0.0371
2/6/2008 1326.45 -0.0076 25.71 -0.0287 28.52 -0.0189
2/7/2008 1336.91 0.0079 26.3 0.0229 28.12 -0.0140
2/8/2008 1331.29 -0.0042 25.8 -0.0190 28.56 0.0156
2/11/2008 1339.13 0.0059 27.12 0.0512 28.21 -0.0123
2/12/2008 1348.86 0.0073 26.6 -0.0192 28.34 0.0046
2/13/2008 1367.21 0.0136 26.46 -0.0053 28.96 0.0219
2/14/2008 1348.86 -0.0134 25.82 -0.0242 28.5 -0.0159
2/15/2008 1349.99 0.0008 26.13 0.0120 28.42 -0.0028
2/19/2008 1348.78 -0.0009 26 -0.0050 28.17 -0.0088
2/20/2008 1360.03 0.0083 25.54 -0.0177 28.22 0.0018
2/21/2008 1342.53 -0.0129 24.3 -0.0486 28.1 -0.0043
2/22/2008 1353.11 0.0079 24.08 -0.0091 27.68 -0.0149
2/25/2008 1371.8 0.0138 24.2 0.0050 27.84 0.0058
2/26/2008 1381.29 0.0069 24.58 0.0157 28.38 0.0194
2/27/2008 1380.02 -0.0009 24.82 0.0098 28.26 -0.0042
2/28/2008 1367.68 -0.0089 24.5 -0.0129 27.93 -0.0117
2/29/2008 1330.63 -0.0271 23.28 -0.0498 27.2 -0.0261
3/3/2008 1331.34 0.0005 23.2 -0.0034 26.99 -0.0077
3/4/2008 1326.75 -0.0034 23.07 -0.0056 27.59 0.0222
3/5/2008 1333.7 0.0052 22.97 -0.0043 28.12 0.0192
3/6/2008 1304.34 -0.0220 22.35 -0.0270 27.57 -0.0196
3/7/2008 1293.37 -0.0084 21.96 -0.0174 27.87 0.0109
3/10/2008 1273.37 -0.0155 20.89 -0.0487 28.05 0.0065
3/11/2008 1320.65 0.0371 21.77 0.0421 29.28 0.0439
3/12/2008 1308.77 -0.0090 20.93 -0.0386 28.63 -0.0222
3/13/2008 1315.48 0.0051 20.31 -0.0296 28.62 -0.0003
3/14/2008 1288.14 -0.0208 19.22 -0.0537 27.96 -0.0231
3/17/2008 1276.6 -0.0090 17.83 -0.0723 28.3 0.0122
3/18/2008 1330.74 0.0424 19.41 0.0886 29.42 0.0396
3/19/2008 1298.42 -0.0243 19.03 -0.0196 28.62 -0.0272
3/20/2008 1329.51 0.0239 19.5 0.0247 29.18 0.0196
3/24/2008 1349.88 0.0153 20.38 0.0451 29.17 -0.0003
3/25/2008 1352.99 0.0023 20.35 -0.0015 29.14 -0.0010
3/26/2008 1341.13 -0.0088 19.48 -0.0428 28.56 -0.0199
3/27/2008 1325.76 -0.0115 19.26 -0.0113 28.05 -0.0179
3/28/2008 1315.22 -0.0080 18.67 -0.0306 27.91 -0.0050
3/31/2008 1322.7 0.0057 19.05 0.0204 28.38 0.0168
4/1/2008 1370.18 0.0359 20.15 0.0577 29.5 0.0395
 4/2/2008 1367.53 -0.0019 20.97 0.0407 29.16 -0.0115
4/3/2008 1369.31 0.0013 21.59 0.0296 29 -0.0055
4/4/2008 1370.4 0.0008 20.58 -0.0468 29.16 0.0055
4/7/2008 1372.54 0.0016 21.01 0.0209 29.16 0.0000
4/8/2008 1365.54 -0.0051 20.98 -0.0014 28.75 -0.0141
4/9/2008 1354.49 -0.0081 20.13 -0.0405 28.89 0.0049
4/10/2008 1360.55 0.0045 20.17 0.0020 29.11 0.0076
4/11/2008 1332.83 -0.0204 19.62 -0.0273 28.28 -0.0285
4/14/2008 1328.32 -0.0034 19 -0.0316 28.06 -0.0078
4/15/2008 1334.43 0.0046 19.12 0.0063 28.25 0.0068
4/16/2008 1364.71 0.0227 19.9 0.0408 28.95 0.0248
4/17/2008 1365.56 0.0006 19.79 -0.0055 29.22 0.0093
4/18/2008 1390.33 0.0181 20.13 0.0172 30 0.0267
4/21/2008 1388.17 -0.0016 21.27 0.0566 30.42 0.0140
4/22/2008 1375.94 -0.0088 20.51 -0.0357 30.25 -0.0056
4/23/2008 1379.93 0.0029 20.94 0.0210 31.45 0.0397
4/24/2008 1388.82 0.0064 22.11 0.0559 31.8 0.0111
4/25/2008 1397.84 0.0065 21.38 -0.0330 29.83 -0.0619
4/28/2008 1396.37 -0.0011 21.94 0.0262 28.99 -0.0282
4/29/2008 1390.94 -0.0039 21.2 -0.0337 28.64 -0.0121
4/30/2008 1385.59 -0.0038 23.2 0.0943 28.52 -0.0042
5/1/2008 1409.34 0.0171 23.19 -0.0004 29.4 0.0309
5/2/2008 1413.9 0.0032 23.2 0.0004 29.24 -0.0054
5/5/2008 1407.49 -0.0045 22.36 -0.0362 29.08 -0.0055
5/6/2008 1418.26 0.0077 22.34 -0.0009 29.7 0.0213
5/7/2008 1392.57 -0.0181 21.4 -0.0421 29.21 -0.0165
5/8/2008 1397.68 0.0037 21.15 -0.0117 29.27 0.0021
5/9/2008 1388.28 -0.0067 20.29 -0.0407 29.39 0.0041
5/12/2008 1403.58 0.0110 20.76 0.0232 29.99 0.0204
5/13/2008 1403.04 -0.0004 20.2 -0.0270 29.78 -0.0070
5/14/2008 1408.66 0.0040 20.19 -0.0005 29.93 0.0050
5/15/2008 1423.57 0.0106 21.23 0.0515 30.45 0.0174
5/16/2008 1425.35 0.0013 20.68 -0.0259 29.99 -0.0151
5/19/2008 1426.63 0.0009 20.87 0.0092 29.46 -0.0177
5/20/2008 1413.4 -0.0093 19.86 -0.0484 28.76 -0.0238
5/21/2008 1390.71 -0.0161 19.12 -0.0373 28.25 -0.0177
5/22/2008 1394.35 0.0026 18.43 -0.0361 28.47 0.0078
5/23/2008 1375.93 -0.0132 17.6 -0.0450 28.05 -0.0148
5/27/2008 1385.35 0.0068 17.42 -0.0102 28.44 0.0139
5/28/2008 1390.84 0.0040 17.15 -0.0155 28.18 -0.0091
5/29/2008 1398.26 0.0053 17.38 0.0134 28.31 0.0046
5/30/2008 1400.38 0.0015 17.1 -0.0161 28.32 0.0004
6/2/2008 1385.67 -0.0105 17.44 0.0199 27.8 -0.0184
6/3/2008 1377.65 -0.0058 17.58 0.0080 27.31 -0.0176
6/4/2008 1377.2 -0.0003 17.01 -0.0324 27.54 0.0084
 6/5/2008 1404.05 0.0195 17.05 0.0024 28.3 0.0276
6/6/2008 1360.68 -0.0309 16.22 -0.0487 27.49 -0.0286
6/9/2008 1361.76 0.0008 16.48 0.0160 27.71 0.0080
6/10/2008 1358.44 -0.0024 16.81 0.0200 27.89 0.0065
6/11/2008 1335.49 -0.0169 16.12 -0.0410 27.12 -0.0276
6/12/2008 1339.87 0.0033 15.76 -0.0223 28.24 0.0413
6/13/2008 1360.03 0.0150 16.45 0.0438 29.07 0.0294
6/16/2008 1360.14 0.0001 16.23 -0.0134 28.93 -0.0048
6/17/2008 1350.93 -0.0068 15.82 -0.0253 28.8 -0.0045
6/18/2008 1337.81 -0.0097 14.89 -0.0588 28.46 -0.0118
6/19/2008 1342.83 0.0038 14.79 -0.0067 28.93 0.0165
6/20/2008 1317.93 -0.0185 13.79 -0.0676 28.23 -0.0242
6/23/2008 1318 0.0001 12.91 -0.0638 27.97 -0.0092
6/24/2008 1314.29 -0.0028 13.19 0.0217 27.73 -0.0086
6/25/2008 1321.97 0.0058 12.81 -0.0288 28.35 0.0224
6/26/2008 1283.15 -0.0294 11.43 -0.1077 27.75 -0.0212
6/27/2008 1278.38 -0.0037 11.55 0.0105 27.63 -0.0043
6/30/2008 1280 0.0013 11.5 -0.0043 27.51 -0.0043
7/1/2008 1284.91 0.0038 11.75 0.0217 26.87 -0.0233
7/2/2008 1261.52 -0.0182 9.98 -0.1506 25.88 -0.0368
7/3/2008 1262.9 0.0011 10.12 0.0140 25.98 0.0039
7/7/2008 1252.31 -0.0084 10.24 0.0119 26.03 0.0019
7/8/2008 1273.7 0.0171 10.78 0.0527 25.85 -0.0069
7/9/2008 1244.69 -0.0228 10.33 -0.0417 25.23 -0.0240
7/10/2008 1253.39 0.0070 9.69 -0.0620 25.45 0.0087
7/11/2008 1239.49 -0.0111 9.92 0.0237 25.25 -0.0079
7/14/2008 1228.3 -0.0090 9.38 -0.0544 25.15 -0.0040
7/15/2008 1214.91 -0.0109 9.84 0.0490 26.15 0.0398
7/16/2008 1245.36 0.0251 11.48 0.1667 27.26 0.0424
7/17/2008 1260.32 0.0120 12.85 0.1193 27.52 0.0095
7/18/2008 1260.68 0.0003 13.18 0.0257 25.86 -0.0603
7/21/2008 1260 -0.0005 13.09 -0.0068 25.64 -0.0085
7/22/2008 1277 0.0135 14.32 0.0940 25.8 0.0062
7/23/2008 1282.19 0.0041 14.62 0.0209 26.43 0.0244
7/24/2008 1252.54 -0.0231 13 -0.1108 25.44 -0.0375
7/25/2008 1257.76 0.0042 11.9 -0.0846 26.16 0.0283
7/28/2008 1234.37 -0.0186 11 -0.0756 25.5 -0.0252
7/29/2008 1263.2 0.0234 11.9 0.0818 26.11 0.0239
7/30/2008 1284.26 0.0167 11.4 -0.0420 26.23 0.0046
7/31/2008 1267.38 -0.0131 11.07 -0.0289 25.72 -0.0194
8/1/2008 1260.31 -0.0056 10.23 -0.0759 25.44 -0.0109
8/4/2008 1249.01 -0.0090 10.1 -0.0127 25.28 -0.0063
8/5/2008 1284.88 0.0287 10.69 0.0584 26.21 0.0368
8/6/2008 1289.19 0.0034 10.25 -0.0412 27.02 0.0309
8/7/2008 1266.07 -0.0179 9.75 -0.0488 27.39 0.0137
 8/8/2008 1296.32 0.0239 10.03 0.0287 28.13 0.0270
8/11/2008 1305.32 0.0069 10.76 0.0728 27.9 -0.0082
8/12/2008 1289.59 -0.0121 11.1 0.0316 28.12 0.0079
8/13/2008 1285.83 -0.0029 10.26 -0.0757 27.91 -0.0075
8/14/2008 1292.93 0.0055 11.35 0.1062 27.91 0.0000
8/15/2008 1298.2 0.0041 11.18 -0.0150 27.81 -0.0036
8/18/2008 1278.6 -0.0151 10.36 -0.0733 27.69 -0.0043
8/19/2008 1266.69 -0.0093 9.95 -0.0396 27.32 -0.0134
8/20/2008 1274.54 0.0062 10.16 0.0211 27.29 -0.0011
8/21/2008 1277.72 0.0025 9.92 -0.0236 27.18 -0.0040
8/22/2008 1292.2 0.0113 10.44 0.0524 27.84 0.0243
8/25/2008 1266.84 -0.0196 10.13 -0.0297 27.66 -0.0065
8/26/2008 1271.51 0.0037 10.04 -0.0089 27.27 -0.0141
8/27/2008 1281.66 0.0080 10.2 0.0159 27.56 0.0106
8/28/2008 1300.68 0.0148 10.34 0.0137 27.94 0.0138
8/29/2008 1282.83 -0.0137 10 -0.0329 27.29 -0.0233
9/2/2008 1277.58 -0.0041 10.65 0.0650 27.1 -0.0070
9/3/2008 1274.98 -0.0020 11.27 0.0582 26.9 -0.0074
9/4/2008 1236.83 -0.0299 10.68 -0.0524 26.35 -0.0204
9/5/2008 1242.31 0.0044 10.71 0.0028 25.65 -0.0266
9/8/2008 1267.79 0.0205 10.83 0.0112 26.12 0.0183
9/9/2008 1224.51 -0.0341 10.76 -0.0065 26.1 -0.0008
9/10/2008 1232.04 0.0061 11.42 0.0613 26.44 0.0130
9/11/2008 1249.05 0.0138 12.75 0.1165 27.34 0.0340
9/12/2008 1251.7 0.0021 13.01 0.0204 27.62 0.0102
9/15/2008 1192.7 -0.0471 11.44 -0.1207 26.82 -0.0290
9/16/2008 1213.6 0.0175 10.84 -0.0524 25.99 -0.0309
9/17/2008 1156.39 -0.0471 9.93 -0.0839 24.57 -0.0546
9/18/2008 1206.51 0.0433 11.4 0.1480 25.26 0.0281
9/19/2008 1255.08 0.0403 13.08 0.1474 25.16 -0.0040
9/22/2008 1207.09 -0.0382 11.58 -0.1147 25.4 0.0095
9/23/2008 1188.22 -0.0156 10.72 -0.0743 25.44 0.0016
9/24/2008 1185.87 -0.0020 10.35 -0.0345 25.72 0.0110
9/25/2008 1209.18 0.0197 10.03 -0.0309 26.61 0.0346
9/26/2008 1213.27 0.0034 9.76 -0.0269 27.4 0.0297
9/29/2008 1106.42 -0.0881 8.51 -0.1281 25.01 -0.0872
9/30/2008 1164.74 0.0527 9.45 0.1105 26.69 0.0672
10/1/2008 1161.06 -0.0032 9.45 0.0000 26.48 -0.0079
10/2/2008 1114.28 -0.0403 9.03 -0.0444 26.25 -0.0087
10/3/2008 1099.23 -0.0135 9 -0.0033 26.32 0.0027
10/6/2008 1056.89 -0.0385 8.48 -0.0578 24.91 -0.0536
10/7/2008 996.23 -0.0574 7.56 -0.1085 23.23 -0.0674
10/8/2008 984.94 -0.0113 6.91 -0.0860 23.01 -0.0095
10/9/2008 909.92 -0.0762 4.76 -0.3111 22.3 -0.0309
10/10/2008 899.22 -0.0118 4.89 0.0273 21.5 -0.0359
 10/13/2008 1003.35 0.1158 6.51 0.3313 25.5 0.1860
10/14/2008 998.01 -0.0053 6.54 0.0046 24.1 -0.0549
10/15/2008 907.84 -0.0903 6.22 -0.0489 22.66 -0.0598
Avg= -0.0021 -0.0051 -0.0019
sd= 0.0210 0.0595 0.0267
var= 0.0004 0.0035 0.0007

Asset A Asset B
ER= 9 21
sd= 11 22

corr=+1 corr=+0 corr=-1

Expected
Percent in A Percent in B Return sd sd sd
100.00% 0.00% 9 11.00 11.00 11.00
90.00% 10.00% 10.2 12.10 10.14 7.70
80.00% 20.00% 11.4 13.20 9.84 4.40
70.00% 30.00% 12.6 14.30 10.14 1.10
60.00% 40.00% 13.8 15.40 11.00 2.20
50.00% 50.00% 15 16.50 12.30 5.50
40.00% 60.00% 16.2 17.60 13.91 8.80
30.00% 70.00% 17.4 18.70 15.75 12.10
20.00% 80.00% 18.6 19.80 17.74 15.40
10.00% 90.00% 19.8 20.90 19.83 18.70
0.00% 100.00% 21 22.00 22.00 22.00

Tutorial Question 4

Name SH Comp SH Comp S&P500-US S&P500 Dax-Ger Dax

Code SEE Return S&P500 Return Dax Return
1/3/2006 5674.15 1280.08 1258.05
2/1/2006 5796.04 0.0215 1280.66 0.0005 1299.03 0.0326
3/1/2006 5970.08 0.0300 1294.87 0.0111 1298.3 -0.0006
4/3/2006 6009.89 0.0067 1310.61 0.0122 1440.22 0.1093
5/2/2006 5692.86 -0.0528 1270.09 -0.0309 1641.3 0.1396
6/1/2006 5683.31 -0.0017 1270.2 0.0001 1672.21 0.0188
7/3/2006 5681.97 -0.0002 1276.66 0.0051 1612.73 -0.0356
8/1/2006 5859.57 0.0313 1303.82 0.0213 1658.64 0.0285
9/1/2006 6004.33 0.0247 1335.85 0.0246 1752.42 0.0565
10/2/2006 6268.92 0.0441 1377.94 0.0315 1837.99 0.0488
11/1/2006 6309.19 0.0064 1400.63 0.0165 2099.29 0.1422
 12/1/2006 6596.92 0.0456 1418.3 0.0126 2675.47 0.2745
1/2/2007 6789.11 0.0291 1438.24 0.0141 2786.33 0.0414
2/1/2007 6715.44 -0.0109 1406.82 -0.0218 2881.07 0.0340
3/1/2007 6917.03 0.0300 1420.86 0.0100 3183.98 0.1051
4/2/2007 7408.87 0.0711 1482.37 0.0433 3841.27 0.2064
5/1/2007 7883.04 0.0640 1530.62 0.0325 4109.65 0.0699
6/1/2007 8007.32 0.0158 1503.35 -0.0178 3820.7 -0.0703
7/2/2007 7584.14 -0.0528 1455.27 -0.0320 4471.03 0.1702
8/1/2007 7638.17 0.0071 1473.99 0.0129 5218.83 0.1673
9/3/2007 7861.51 0.0292 1526.75 0.0358 5552.3 0.0639
10/1/2007 8019.22 0.0201 1549.38 0.0148 5954.77 0.0725
11/1/2007 7870.52 -0.0185 1481.14 -0.0440 4871.78 -0.1819
12/3/2007 7994.07 0.0157 1504.66 0.0159 5035.07 0.0335
Avg= 0.0155 0.0073 0.0664
Var= 0.0009 0.0005 0.0092
Sd= 0.0304 0.0228 0.0957

corr(SEE,S&P)= 0.8419
corr (SEE,DAX)= 0.1524
corr (S&P,DAX)= 0.3543

Asset A Asset B
ER= 0.0155 0.0664
sd= 0.0304 0.0957

corr=0.1524
Expected
Percent in A Percent in B
Return sd
100.00% 0.00% 0.0155 0.0304
94.78% 5.22% 0.0181 0.0300
90.00% 10.00% 0.0205 0.0303
80.00% 20.00% 0.0256 0.0332
70.00% 30.00% 0.0307 0.0382
60.00% 40.00% 0.0358 0.0448
50.00% 50.00% 0.0409 0.0524
40.00% 60.00% 0.0460 0.0605
30.00% 70.00% 0.0511 0.0690 mini var portfolio:
20.00% 80.00% 0.0562 0.0777 WA= 0.9478
10.00% 90.00% 0.0613 0.0867
0.00% 100.00% 0.0664 0.0957

Portfolio Risk & Return (corr=.1524)

E(R)
0.07

0.06
 Portfolio Risk & Return (corr=.1524)
E(R)
0.07

0.06

0.05

0.04

0.03

0.02

0.01
sd
0.00
0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.10
FTSE 100 -
PRICE FTSE100
INDEX Return
FTSE100
6456.9
6416.7 -0.0062
6479.4 0.0098
6348.5 -0.0202
6335.7 -0.0020
6356.5 0.0033
6272.7 -0.0132
6222.7 -0.0080
6202 -0.0033
6215.7 0.0022
6025.6 -0.0306
5942.9 -0.0137
5902.4 -0.0068
5901.7 -0.0001
5578.2 -0.0548
5740.1 0.0290
5609.3 -0.0228
5875.8 0.0475
5869 -0.0012
5788.9 -0.0136
5885.2 0.0166
5837.3 -0.0081
5879.8 0.0073
6029.2 0.0254
6026.2 -0.0005
5868 -0.0263
5875.4 0.0013
5724.1 -0.0258
5784 0.0105
5707.7 -0.0132
5910 0.0354
5880.1 -0.0051
5879.3 -0.0001
5787.6 -0.0156
5966.9 0.0310
5893.6 -0.0123
5932.2 0.0065
5888.5 -0.0074
5999.5 0.0189
6087.4 0.0147
6076.5 -0.0018
5965.7 -0.0182
5884.3 -0.0136
5818.6 -0.0112
5767.7 -0.0087
5853.5 0.0149
5766.4 -0.0149
5699.9 -0.0115
5629.1 -0.0124
5690.4 0.0109
5776.4 0.0151
5692.4 -0.0145
5631.7 -0.0107
5414.4 -0.0386
5605.8 0.0354
5545.6 -0.0107
5495.2 -0.0091
5689.1 0.0353
5660.4 -0.0050
5717.5 0.0101
5692.9 -0.0043
5702.1 0.0016
5852.6 0.0264
5915.9 0.0108
5891.3 -0.0042
5947.1 0.0095
6014.8 0.0114
5990.2 -0.0041
5983.9 -0.0011
5965.1 -0.0031
5895.5 -0.0117
5831.6 -0.0108
5906.9 0.0129
6046.2 0.0236
5980.4 -0.0109
6056.5 0.0127
6053 -0.0006
6034.7 -0.0030
6083.6 0.0081
6050.7 -0.0054
6091.4 0.0067
6090.4 -0.0002
6089.4 -0.0002
6087.3 -0.0003
6087.3 0.0000
6215.5 0.0211
6215.2 0.0000
6261 0.0074
6270.8 0.0016
6204.7 -0.0105
6220.6 0.0026
6211.9 -0.0014
6216 0.0007
6251.8 0.0058
6304.3 0.0084
6376.5 0.0115
6191.6 -0.0290
6198.1 0.0010
6181.6 -0.0027
6087.3 -0.0153
6058.5 -0.0047
6069.6 0.0018
6068.1 -0.0002
6053.5 -0.0024
6007.6 -0.0076
6057.7 0.0083
5970.1 -0.0145
5995.3 0.0042
5906.8 -0.0148
5877.6 -0.0049
5827.3 -0.0086
5723.3 -0.0178
5790.5 0.0117
5802.8 0.0021
5794.6 -0.0014
5861.9 0.0116
5756.9 -0.0179
5708.4 -0.0084
5620.8 -0.0153
5667.2 0.0083
5634.7 -0.0057
5666.1 0.0056
5518.2 -0.0261
5529.9 0.0021
5625.9 0.0174
5479.9 -0.0260
5426.3 -0.0098
5476.6 0.0093
5512.7 0.0066
5440.5 -0.0131
5529.6 0.0164
5406.8 -0.0222
5261.6 -0.0269
5300.4 0.0074
5171.9 -0.0242
5150.6 -0.0041
5286.3 0.0263
5376.4 0.0170
5404.3 0.0052
5364.1 -0.0074
5449.9 0.0160
5362.3 -0.0161
5352.6 -0.0018
5312.6 -0.0075
5319.2 0.0012
5420.7 0.0191
5411.9 -0.0016
5354.7 -0.0106
5320.2 -0.0064
5454.5 0.0252
5486.1 0.0058
5477.5 -0.0016
5489.2 0.0021
5541.8 0.0096
5534.5 -0.0013
5448.6 -0.0155
5497.4 0.0090
5454.8 -0.0077
5450.2 -0.0008
5320.4 -0.0238
5371.8 0.0097
5370.2 -0.0003
5505.6 0.0252
5470.7 -0.0063
5528.1 0.0105
5601.2 0.0132
5636.6 0.0063
5602.8 -0.0060
5620.7 0.0032
5499.7 -0.0215
5362.1 -0.0250
5240.7 -0.0226
5446.3 0.0392
5415.6 -0.0056
5366.2 -0.0091
5318.4 -0.0089
5416.7 0.0185
5204.2 -0.0392
5025.6 -0.0343
4912.4 -0.0225
4880 -0.0066
5311.3 0.0884
5236.3 -0.0141
5136.1 -0.0191
5095.6 -0.0079
5197 0.0199
5088.5 -0.0209
4818.8 -0.0530
4902.5 0.0174
4959.6 0.0116
4870.3 -0.0180
4980.3 0.0226
4589.2 -0.0785
4605.2 0.0035
4366.7 -0.0518
4313.8 -0.0121
3932.1 -0.0885
 4256.9 0.0826
4394.2 0.0323
4079.6 -0.0716
-0.0021
0.0209
0.0004

correlation coefficient= 0:
WA= 0.8000 WB = 0.2000

correlation coefficient= -1:

WA= 0.6667 WB = 0.33333
WB= 0.0522
sd