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    Spreadsheet On Tangecy Portfolio - To Be Emailed

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    Kunal Deore

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    Spreadsheet On Tangecy Portfolio - To Be Emailed

    Uploaded by

    Kunal Deore
    14 views2 pages

    Original Title

    6. Spreadsheet on tangecy portfolio -- to be emailed

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    Copyright:

    © All Rights Reserved
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    Download as xlsx, pdf, or txt
    14 views2 pages

    Spreadsheet On Tangecy Portfolio - To Be Emailed

    Uploaded by

    Kunal Deore

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 2

    Returns

    Date stock A stock B


    1 1.00% 7.00%
    2 4.00% 7.00%
    3 3.00% 6.00%
    Mean 2.67% 6.67%
    Var 0.00023 0.00003
    Stdev 1.53% 0.58%
    Covar -0.000017
    Correlation -0.19

    Find Portfolio Weights that Maximize Sharpe Ratio


    Weight in Stock A Risk Free rate
    0.110169492 0.10%
    Slope 12.02386516
    Returns
    Date stock A stock B
    1 3.00% 5.00%
    2 2.00% 3.00%
    3 1.00% 4.00%
    4 0.00% -2.00%
    5 -1.00% 0.00%
    Mean 1.00% 2.00%
    Var 0.00025 0.00085
    Stdev 1.58% 2.92%
    Covar 0.000375
    Correlation 0.81

    Find Portfolio Weights that Maximize Sharpe Ratio


    Weight in Stock A Risk Free rate
    -0.35 0.30%
    Slope 0.585624898

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