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 /K
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 coefficient is 0 and when it is -1.

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) re
(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 port
(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
on stocks.
of monthly returns for each data item.
 X) and corr (S&P,DAX) respectively.
pected return and standard deviation of returns for various portfolios formed between your two stocks.
Identify the efficient portfolio set.
m variance portfolio.
ween your two stocks.
 Tutorial of Chapter 3
Q1
Year Common T-Bills Risk
Stocks Premuim
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%
Average 18.39% 10.19% 8.20%
SD 0.1359 0.0298 0.1535

Q2
S&P 500
COMPOSITE GENERAL FTSE 100 -
Name MICROSOFT
- PRICE MOTORS PRICE INDEX
INDEX PCT PCT PCT PCT
Code S&PCOMP GM MSFT FTSE100
1/2/2008 1447.16 0.00% 24.41 -2.01% 35.22 0.43% 6456.9 -0.62%
1/3/2008 1447.16 -2.46% 23.92 -1.13% 35.37 -2.80% 6416.7 0.98%
1/4/2008 1411.63 0.32% 23.65 0.04% 34.38 0.67% 6479.4 -2.02%
1/7/2008 1416.18 -1.84% 23.66 -1.52% 34.61 -3.35% 6348.5 -0.20%
1/8/2008 1390.19 1.36% 23.3 -2.23% 33.45 2.96% 6335.7 0.33%
1/9/2008 1409.13 0.79% 22.78 3.95% 34.44 -0.32% 6356.5 -1.32%
1/10/2008 1420.33 -1.36% 23.68 -0.76% 34.33 -1.22% 6272.7 -0.80%
1/11/2008 1401.02 1.09% 23.5 0.81% 33.91 1.42% 6222.7 -0.33%
1/14/2008 1416.25 -2.49% 23.69 -5.95% 34.39 -1.13% 6202 0.22%
1/15/2008 1380.95 -0.56% 22.28 2.56% 34 -2.26% 6215.7 -3.06%
1/16/2008 1373.2 -2.91% 22.85 -0.04% 33.23 -0.36% 6025.6 -1.37%
1/17/2008 1333.25 -0.60% 22.84 2.98% 33.11 -0.30% 5942.9 -0.68%
1/18/2008 1325.19 -1.11% 23.52 0.55% 33.01 -3.18% 5902.4 -0.01%
1/22/2008 1310.5 2.14% 23.65 8.67% 31.96 -0.09% 5901.7 -5.48%
1/23/2008 1338.6 1.01% 25.7 -0.31% 31.93 4.13% 5578.2 2.90%
1/24/2008 1352.07 -1.59% 25.62 0.66% 33.25 -0.93% 5740.1 -2.28%
1/25/2008 1330.61 1.75% 25.79 2.87% 32.94 -0.67% 5609.3 4.75%
1/28/2008 1353.96 0.62% 26.53 2.56% 32.72 -0.37% 5875.8 -0.12%
1/29/2008 1362.3 -0.48% 27.21 0.92% 32.6 -1.23% 5869 -1.36%
1/30/2008 1355.81 1.68% 27.46 2.73% 32.2 1.24% 5788.9 1.66%
1/31/2008 1378.55 1.22% 28.21 2.73% 32.6 -6.60% 5885.2 -0.81%
2/1/2008 1395.42 -1.05% 28.98 -4.87% 30.45 -0.85% 5837.3 0.73%
2/4/2008 1380.82 -3.20% 27.57 -3.99% 30.19 -3.71% 5879.8 2.54%
2/5/2008 1336.64 -0.76% 26.47 -2.87% 29.07 -1.89% 6029.2 -0.05%
2/6/2008 1326.45 0.79% 25.71 2.29% 28.52 -1.40% 6026.2 -2.63%
2/7/2008 1336.91 -0.42% 26.3 -1.90% 28.12 1.56% 5868 0.13%
2/8/2008 1331.29 0.59% 25.8 5.12% 28.56 -1.23% 5875.4 -2.58%
2/11/2008 1339.13 0.73% 27.12 -1.92% 28.21 0.46% 5724.1 1.05%
2/12/2008 1348.86 1.36% 26.6 -0.53% 28.34 2.19% 5784 -1.32%
2/13/2008 1367.21 -1.34% 26.46 -2.42% 28.96 -1.59% 5707.7 3.54%
2/14/2008 1348.86 0.08% 25.82 1.20% 28.5 -0.28% 5910 -0.51%
2/15/2008 1349.99 -0.09% 26.13 -0.50% 28.42 -0.88% 5880.1 -0.01%
2/19/2008 1348.78 0.83% 26 -1.77% 28.17 0.18% 5879.3 -1.56%
2/20/2008 1360.03 -1.29% 25.54 -4.86% 28.22 -0.43% 5787.6 3.10%
2/21/2008 1342.53 0.79% 24.3 -0.91% 28.1 -1.49% 5966.9 -1.23%
2/22/2008 1353.11 1.38% 24.08 0.50% 27.68 0.58% 5893.6 0.65%
2/25/2008 1371.8 0.69% 24.2 1.57% 27.84 1.94% 5932.2 -0.74%
2/26/2008 1381.29 -0.09% 24.58 0.98% 28.38 -0.42% 5888.5 1.89%
2/27/2008 1380.02 -0.89% 24.82 -1.29% 28.26 -1.17% 5999.5 1.47%
2/28/2008 1367.68 -2.71% 24.5 -4.98% 27.93 -2.61% 6087.4 -0.18%
2/29/2008 1330.63 0.05% 23.28 -0.34% 27.2 -0.77% 6076.5 -1.82%
3/3/2008 1331.34 -0.34% 23.2 -0.56% 26.99 2.22% 5965.7 -1.36%
3/4/2008 1326.75 0.52% 23.07 -0.43% 27.59 1.92% 5884.3 -1.12%
3/5/2008 1333.7 -2.20% 22.97 -2.70% 28.12 -1.96% 5818.6 -0.87%
3/6/2008 1304.34 -0.84% 22.35 -1.74% 27.57 1.09% 5767.7 1.49%
3/7/2008 1293.37 -1.55% 21.96 -4.87% 27.87 0.65% 5853.5 -1.49%
3/10/2008 1273.37 3.71% 20.89 4.21% 28.05 4.39% 5766.4 -1.15%
3/11/2008 1320.65 -0.90% 21.77 -3.86% 29.28 -2.22% 5699.9 -1.24%
3/12/2008 1308.77 0.51% 20.93 -2.96% 28.63 -0.03% 5629.1 1.09%
3/13/2008 1315.48 -2.08% 20.31 -5.37% 28.62 -2.31% 5690.4 1.51%
3/14/2008 1288.14 -0.90% 19.22 -7.23% 27.96 1.22% 5776.4 -1.45%
3/17/2008 1276.6 4.24% 17.83 8.86% 28.3 3.96% 5692.4 -1.07%
3/18/2008 1330.74 -2.43% 19.41 -1.96% 29.42 -2.72% 5631.7 -3.86%
3/19/2008 1298.42 2.39% 19.03 2.47% 28.62 1.96% 5414.4 3.54%
3/20/2008 1329.51 1.53% 19.5 4.51% 29.18 -0.03% 5605.8 -1.07%
3/24/2008 1349.88 0.23% 20.38 -0.15% 29.17 -0.10% 5545.6 -0.91%
3/25/2008 1352.99 -0.88% 20.35 -4.28% 29.14 -1.99% 5495.2 3.53%
3/26/2008 1341.13 -1.15% 19.48 -1.13% 28.56 -1.79% 5689.1 -0.50%
3/27/2008 1325.76 -0.80% 19.26 -3.06% 28.05 -0.50% 5660.4 1.01%
3/28/2008 1315.22 0.57% 18.67 2.04% 27.91 1.68% 5717.5 -0.43%
3/31/2008 1322.7 3.59% 19.05 5.77% 28.38 3.95% 5692.9 0.16%
4/1/2008 1370.18 -0.19% 20.15 4.07% 29.5 -1.15% 5702.1 2.64%
4/2/2008 1367.53 0.13% 20.97 2.96% 29.16 -0.55% 5852.6 1.08%
4/3/2008 1369.31 0.08% 21.59 -4.68% 29 0.55% 5915.9 -0.42%
4/4/2008 1370.4 0.16% 20.58 2.09% 29.16 0.00% 5891.3 0.95%
4/7/2008 1372.54 -0.51% 21.01 -0.14% 29.16 -1.41% 5947.1 1.14%
4/8/2008 1365.54 -0.81% 20.98 -4.05% 28.75 0.49% 6014.8 -0.41%
4/9/2008 1354.49 0.45% 20.13 0.20% 28.89 0.76% 5990.2 -0.11%
4/10/2008 1360.55 -2.04% 20.17 -2.73% 29.11 -2.85% 5983.9 -0.31%
4/11/2008 1332.83 -0.34% 19.62 -3.16% 28.28 -0.78% 5965.1 -1.17%
4/14/2008 1328.32 0.46% 19 0.63% 28.06 0.68% 5895.5 -1.08%
4/15/2008 1334.43 2.27% 19.12 4.08% 28.25 2.48% 5831.6 1.29%
4/16/2008 1364.71 0.06% 19.9 -0.55% 28.95 0.93% 5906.9 2.36%
4/17/2008 1365.56 1.81% 19.79 1.72% 29.22 2.67% 6046.2 -1.09%
4/18/2008 1390.33 -0.16% 20.13 5.66% 30 1.40% 5980.4 1.27%
4/21/2008 1388.17 -0.88% 21.27 -3.57% 30.42 -0.56% 6056.5 -0.06%
4/22/2008 1375.94 0.29% 20.51 2.10% 30.25 3.97% 6053 -0.30%
4/23/2008 1379.93 0.64% 20.94 5.59% 31.45 1.11% 6034.7 0.81%
4/24/2008 1388.82 0.65% 22.11 -3.30% 31.8 -6.19% 6083.6 -0.54%
4/25/2008 1397.84 -0.11% 21.38 2.62% 29.83 -2.82% 6050.7 0.67%
4/28/2008 1396.37 -0.39% 21.94 -3.37% 28.99 -1.21% 6091.4 -0.02%
4/29/2008 1390.94 -0.38% 21.2 9.43% 28.64 -0.42% 6090.4 -0.02%
4/30/2008 1385.59 1.71% 23.2 -0.04% 28.52 3.09% 6089.4 -0.03%
5/1/2008 1409.34 0.32% 23.19 0.04% 29.4 -0.54% 6087.3 0.00%
5/2/2008 1413.9 -0.45% 23.2 -3.62% 29.24 -0.55% 6087.3 2.11%
5/5/2008 1407.49 0.77% 22.36 -0.09% 29.08 2.13% 6215.5 0.00%
5/6/2008 1418.26 -1.81% 22.34 -4.21% 29.7 -1.65% 6215.2 0.74%
5/7/2008 1392.57 0.37% 21.4 -1.17% 29.21 0.21% 6261 0.16%
5/8/2008 1397.68 -0.67% 21.15 -4.07% 29.27 0.41% 6270.8 -1.05%
5/9/2008 1388.28 1.10% 20.29 2.32% 29.39 2.04% 6204.7 0.26%
5/12/2008 1403.58 -0.04% 20.76 -2.70% 29.99 -0.70% 6220.6 -0.14%
5/13/2008 1403.04 0.40% 20.2 -0.05% 29.78 0.50% 6211.9 0.07%
5/14/2008 1408.66 1.06% 20.19 5.15% 29.93 1.74% 6216 0.58%
5/15/2008 1423.57 0.13% 21.23 -2.59% 30.45 -1.51% 6251.8 0.84%
5/16/2008 1425.35 0.09% 20.68 0.92% 29.99 -1.77% 6304.3 1.15%
5/19/2008 1426.63 -0.93% 20.87 -4.84% 29.46 -2.38% 6376.5 -2.90%
5/20/2008 1413.4 -1.61% 19.86 -3.73% 28.76 -1.77% 6191.6 0.10%
5/21/2008 1390.71 0.26% 19.12 -3.61% 28.25 0.78% 6198.1 -0.27%
5/22/2008 1394.35 -1.32% 18.43 -4.50% 28.47 -1.48% 6181.6 -1.53%
5/23/2008 1375.93 0.68% 17.6 -1.02% 28.05 1.39% 6087.3 -0.47%
5/27/2008 1385.35 0.40% 17.42 -1.55% 28.44 -0.91% 6058.5 0.18%
5/28/2008 1390.84 0.53% 17.15 1.34% 28.18 0.46% 6069.6 -0.02%
5/29/2008 1398.26 0.15% 17.38 -1.61% 28.31 0.04% 6068.1 -0.24%
5/30/2008 1400.38 -1.05% 17.1 1.99% 28.32 -1.84% 6053.5 -0.76%
6/2/2008 1385.67 -0.58% 17.44 0.80% 27.8 -1.76% 6007.6 0.83%
6/3/2008 1377.65 -0.03% 17.58 -3.24% 27.31 0.84% 6057.7 -1.45%
6/4/2008 1377.2 1.95% 17.01 0.24% 27.54 2.76% 5970.1 0.42%
6/5/2008 1404.05 -3.09% 17.05 -4.87% 28.3 -2.86% 5995.3 -1.48%
6/6/2008 1360.68 0.08% 16.22 1.60% 27.49 0.80% 5906.8 -0.49%
6/9/2008 1361.76 -0.24% 16.48 2.00% 27.71 0.65% 5877.6 -0.86%
6/10/2008 1358.44 -1.69% 16.81 -4.10% 27.89 -2.76% 5827.3 -1.78%
6/11/2008 1335.49 0.33% 16.12 -2.23% 27.12 4.13% 5723.3 1.17%
6/12/2008 1339.87 1.50% 15.76 4.38% 28.24 2.94% 5790.5 0.21%
6/13/2008 1360.03 0.01% 16.45 -1.34% 29.07 -0.48% 5802.8 -0.14%
6/16/2008 1360.14 -0.68% 16.23 -2.53% 28.93 -0.45% 5794.6 1.16%
6/17/2008 1350.93 -0.97% 15.82 -5.88% 28.8 -1.18% 5861.9 -1.79%
6/18/2008 1337.81 0.38% 14.89 -0.67% 28.46 1.65% 5756.9 -0.84%
6/19/2008 1342.83 -1.85% 14.79 -6.76% 28.93 -2.42% 5708.4 -1.53%
6/20/2008 1317.93 0.01% 13.79 -6.38% 28.23 -0.92% 5620.8 0.83%
6/23/2008 1318 -0.28% 12.91 2.17% 27.97 -0.86% 5667.2 -0.57%
6/24/2008 1314.29 0.58% 13.19 -2.88% 27.73 2.24% 5634.7 0.56%
6/25/2008 1321.97 -2.94% 12.81 -10.77% 28.35 -2.12% 5666.1 -2.61%
6/26/2008 1283.15 -0.37% 11.43 1.05% 27.75 -0.43% 5518.2 0.21%
6/27/2008 1278.38 0.13% 11.55 -0.43% 27.63 -0.43% 5529.9 1.74%
6/30/2008 1280 0.38% 11.5 2.17% 27.51 -2.33% 5625.9 -2.60%
7/1/2008 1284.91 -1.82% 11.75 -15.06% 26.87 -3.68% 5479.9 -0.98%
7/2/2008 1261.52 0.11% 9.98 1.40% 25.88 0.39% 5426.3 0.93%
7/3/2008 1262.9 -0.84% 10.12 1.19% 25.98 0.19% 5476.6 0.66%
7/7/2008 1252.31 1.71% 10.24 5.27% 26.03 -0.69% 5512.7 -1.31%
7/8/2008 1273.7 -2.28% 10.78 -4.17% 25.85 -2.40% 5440.5 1.64%
7/9/2008 1244.69 0.70% 10.33 -6.20% 25.23 0.87% 5529.6 -2.22%
7/10/2008 1253.39 -1.11% 9.69 2.37% 25.45 -0.79% 5406.8 -2.69%
7/11/2008 1239.49 -0.90% 9.92 -5.44% 25.25 -0.40% 5261.6 0.74%
7/14/2008 1228.3 -1.09% 9.38 4.90% 25.15 3.98% 5300.4 -2.42%
7/15/2008 1214.91 2.51% 9.84 16.67% 26.15 4.24% 5171.9 -0.41%
7/16/2008 1245.36 1.20% 11.48 11.93% 27.26 0.95% 5150.6 2.63%
7/17/2008 1260.32 0.03% 12.85 2.57% 27.52 -6.03% 5286.3 1.70%
7/18/2008 1260.68 -0.05% 13.18 -0.68% 25.86 -0.85% 5376.4 0.52%
7/21/2008 1260 1.35% 13.09 9.40% 25.64 0.62% 5404.3 -0.74%
7/22/2008 1277 0.41% 14.32 2.09% 25.8 2.44% 5364.1 1.60%
7/23/2008 1282.19 -2.31% 14.62 -11.08% 26.43 -3.75% 5449.9 -1.61%
7/24/2008 1252.54 0.42% 13 -8.46% 25.44 2.83% 5362.3 -0.18%
7/25/2008 1257.76 -1.86% 11.9 -7.56% 26.16 -2.52% 5352.6 -0.75%
7/28/2008 1234.37 2.34% 11 8.18% 25.5 2.39% 5312.6 0.12%
7/29/2008 1263.2 1.67% 11.9 -4.20% 26.11 0.46% 5319.2 1.91%
7/30/2008 1284.26 -1.31% 11.4 -2.89% 26.23 -1.94% 5420.7 -0.16%
7/31/2008 1267.38 -0.56% 11.07 -7.59% 25.72 -1.09% 5411.9 -1.06%
8/1/2008 1260.31 -0.90% 10.23 -1.27% 25.44 -0.63% 5354.7 -0.64%
8/4/2008 1249.01 2.87% 10.1 5.84% 25.28 3.68% 5320.2 2.52%
8/5/2008 1284.88 0.34% 10.69 -4.12% 26.21 3.09% 5454.5 0.58%
8/6/2008 1289.19 -1.79% 10.25 -4.88% 27.02 1.37% 5486.1 -0.16%
8/7/2008 1266.07 2.39% 9.75 2.87% 27.39 2.70% 5477.5 0.21%
8/8/2008 1296.32 0.69% 10.03 7.28% 28.13 -0.82% 5489.2 0.96%
8/11/2008 1305.32 -1.21% 10.76 3.16% 27.9 0.79% 5541.8 -0.13%
8/12/2008 1289.59 -0.29% 11.1 -7.57% 28.12 -0.75% 5534.5 -1.55%
8/13/2008 1285.83 0.55% 10.26 10.62% 27.91 0.00% 5448.6 0.90%
8/14/2008 1292.93 0.41% 11.35 -1.50% 27.91 -0.36% 5497.4 -0.77%
8/15/2008 1298.2 -1.51% 11.18 -7.33% 27.81 -0.43% 5454.8 -0.08%
8/18/2008 1278.6 -0.93% 10.36 -3.96% 27.69 -1.34% 5450.2 -2.38%
8/19/2008 1266.69 0.62% 9.95 2.11% 27.32 -0.11% 5320.4 0.97%
8/20/2008 1274.54 0.25% 10.16 -2.36% 27.29 -0.40% 5371.8 -0.03%
8/21/2008 1277.72 1.13% 9.92 5.24% 27.18 2.43% 5370.2 2.52%
8/22/2008 1292.2 -1.96% 10.44 -2.97% 27.84 -0.65% 5505.6 -0.63%
8/25/2008 1266.84 0.37% 10.13 -0.89% 27.66 -1.41% 5470.7 1.05%
8/26/2008 1271.51 0.80% 10.04 1.59% 27.27 1.06% 5528.1 1.32%
8/27/2008 1281.66 1.48% 10.2 1.37% 27.56 1.38% 5601.2 0.63%
8/28/2008 1300.68 -1.37% 10.34 -3.29% 27.94 -2.33% 5636.6 -0.60%
8/29/2008 1282.83 -0.41% 10 6.50% 27.29 -0.70% 5602.8 0.32%
9/2/2008 1277.58 -0.20% 10.65 5.82% 27.1 -0.74% 5620.7 -2.15%
9/3/2008 1274.98 -2.99% 11.27 -5.24% 26.9 -2.04% 5499.7 -2.50%
9/4/2008 1236.83 0.44% 10.68 0.28% 26.35 -2.66% 5362.1 -2.26%
9/5/2008 1242.31 2.05% 10.71 1.12% 25.65 1.83% 5240.7 3.92%
9/8/2008 1267.79 -3.41% 10.83 -0.65% 26.12 -0.08% 5446.3 -0.56%
9/9/2008 1224.51 0.61% 10.76 6.13% 26.1 1.30% 5415.6 -0.91%
9/10/2008 1232.04 1.38% 11.42 11.65% 26.44 3.40% 5366.2 -0.89%
9/11/2008 1249.05 0.21% 12.75 2.04% 27.34 1.02% 5318.4 1.85%
9/12/2008 1251.7 -4.71% 13.01 -12.07% 27.62 -2.90% 5416.7 -3.92%
9/15/2008 1192.7 1.75% 11.44 -5.24% 26.82 -3.09% 5204.2 -3.43%
9/16/2008 1213.6 -4.71% 10.84 -8.39% 25.99 -5.46% 5025.6 -2.25%
9/17/2008 1156.39 4.33% 9.93 14.80% 24.57 2.81% 4912.4 -0.66%
9/18/2008 1206.51 4.03% 11.4 14.74% 25.26 -0.40% 4880 8.84%
9/19/2008 1255.08 -3.82% 13.08 -11.47% 25.16 0.95% 5311.3 -1.41%
9/22/2008 1207.09 -1.56% 11.58 -7.43% 25.4 0.16% 5236.3 -1.91%
9/23/2008 1188.22 -0.20% 10.72 -3.45% 25.44 1.10% 5136.1 -0.79%
9/24/2008 1185.87 1.97% 10.35 -3.09% 25.72 3.46% 5095.6 1.99%
9/25/2008 1209.18 0.34% 10.03 -2.69% 26.61 2.97% 5197 -2.09%
9/26/2008 1213.27 -8.81% 9.76 -12.81% 27.4 -8.72% 5088.5 -5.30%
9/29/2008 1106.42 5.27% 8.51 11.05% 25.01 6.72% 4818.8 1.74%
9/30/2008 1164.74 -0.32% 9.45 0.00% 26.69 -0.79% 4902.5 1.16%
10/1/2008 1161.06 -4.03% 9.45 -4.44% 26.48 -0.87% 4959.6 -1.80%
10/2/2008 1114.28 -1.35% 9.03 -0.33% 26.25 0.27% 4870.3 2.26%
10/3/2008 1099.23 -3.85% 9 -5.78% 26.32 -5.36% 4980.3 -7.85%
10/6/2008 1056.89 -5.74% 8.48 -10.85% 24.91 -6.74% 4589.2 0.35%
 10/7/2008 996.23 -1.13% 7.56 -8.60% 23.23 -0.95% 4605.2 -5.18%
10/8/2008 984.94 -7.62% 6.91 -31.11% 23.01 -3.09% 4366.7 -1.21%
10/9/2008 909.92 -1.18% 4.76 2.73% 22.3 -3.59% 4313.8 -8.85%
10/10/2008 899.22 11.58% 4.89 33.13% 21.5 18.60% 3932.1 8.26%
10/13/2008 1003.35 -0.53% 6.51 0.46% 25.5 -5.49% 4256.9 3.23%
10/14/2008 998.01 -9.03% 6.54 -4.89% 24.1 -5.98% 4394.2 -7.16%
10/15/2008 907.84 6.22 22.66 4079.6
Average -0.21% -0.51% -0.19% -0.21%
Variance 0.04% 0.35% 0.07% 0.04%
SD 2.10% 5.95% 2.67% 2.09%

Q3 Asset A Asset B
ER= 9 21
sd= 11 22
corr=+1 corr=+0 corr=-1
Expected
Percent in 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
WeightA 80.00% 66.67%
WeightB 20.00% 33.33%

Q4
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 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
Average 0.0155 0.0073 0.0664
Sd 0.0304 0.0228 0.0957
Var 0.0009 0.0005 0.0092
Corr 0.8419 0.3543 0.1524
 Asset A Asset B
E(R)= 0.0155 0.0664
Sd= 0.0304 0.0957 Corr= 0.1524

Percent in Expected
Percent in B
A Return Sd
100.00% 0.00% 0.0155 0.0304 0.0155
94.78% 5.22% 0.0181 0.0300 0.0181
90.00% 10.00% 0.0205 0.0303 0.0205
80.00% 20.00% 0.0256 0.0332 0.0256
70.00% 30.00% 0.0307 0.0382 0.0307
60.00% 40.00% 0.0358 0.0448 0.0358
50.00% 50.00% 0.0409 0.0524 0.0409
40.00% 60.00% 0.0460 0.0605 0.0460
30.00% 70.00% 0.0511 0.0690 0.0511
20.00% 80.00% 0.0562 0.0777 0.0562
10.00% 90.00% 0.0613 0.0867 0.0613
0.00% 100.00% 0.0664 0.0957 0.0664
Wa min= 0.9478 Wb= 0.0522