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    Final Mock Calculations

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    This document contains calculations and analysis of various investment portfolios including: 1. A risky portfolio (CPS stocks), market portfolio, and inflation-hedging portfolio with returns under 3 scenarios to calculate betas and alphas. 2. A Western Canada portfolio compared to the market with calculations of expected returns, variances, standard deviations, and covariances to derive coefficients. 3. Analysis of a consumption-tracking portfolio involving calculations of expected returns, covariances between the market portfolio and other portfolios, and coefficients depending on average coefficient risk aversion.

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    Final Mock Calculations

    Uploaded by

    fads
    4 views5 pages
    This document contains calculations and analysis of various investment portfolios including: 1. A risky portfolio (CPS stocks), market portfolio, and inflation-hedging portfolio with returns under 3 scenarios to calculate betas and alphas. 2. A Western Canada portfolio compared to the market with calculations of expected returns, variances, standard deviations, and covariances to derive coefficients. 3. Analysis of a consumption-tracking portfolio involving calculations of expected returns, covariances between the market portfolio and other portfolios, and coefficients depending on average coefficient risk aversion.

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    This document contains calculations and analysis of various investment portfolios including: 1. A risky portfolio (CPS stocks), market portfolio, and inflation-hedging portfolio with returns under 3 scenarios to calculate betas and alphas. 2. A Western Canada portfolio compared to the market with calculations of expected returns, variances, standard deviations, and covariances to derive coefficients. 3. Analysis of a consumption-tracking portfolio involving calculations of expected returns, covariances between the market portfolio and other portfolios, and coefficients depending on average coefficient risk aversion.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    4 views5 pages

    Final Mock Calculations

    Uploaded by

    fads
    This document contains calculations and analysis of various investment portfolios including: 1. A risky portfolio (CPS stocks), market portfolio, and inflation-hedging portfolio with returns under 3 scenarios to calculate betas and alphas. 2. A Western Canada portfolio compared to the market with calculations of expected returns, variances, standard deviations, and covariances to derive coefficients. 3. Analysis of a consumption-tracking portfolio involving calculations of expected returns, covariances between the market portfolio and other portfolios, and coefficients depending on average coefficient risk aversion.

    Copyright:

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

    one risky portfolio, one m

    Return
    Probabilities (3 senario) CPS stocks (risky portfolMarket portfolio Inflation-Hedging Portfo
    0.274000 -0.077700 -0.063300 -0.018000
    0.487500 0.028700 -0.005200 0.005000
    0.238500 0.075300 0.083200 0.021500
    (X- Mean)^2
    0.007808 0.004002 0.000426
    0.000325 0.000027 0.000006
    0.004178 0.006928 0.000356

    (X- Mean)
    -0.088361 -0.063264 -0.020633
    0.018040 -0.005164 0.002367
    0.064640 0.083236 0.018867

    Risk free rate 0.85%

    probability Weatern Canada Eastern Canada Market returns


    2.350% -0.39180 -0.54060 -0.31430
    31.250% -0.09980 -0.08120 -0.05630
    39.100% -0.00670 -0.00530 -0.00300
    26.400% 0.06110 0.08860 0.04520
    0.900% 0.31200 0.38210 0.30080
    1
    Weatern Canada Eastern Canada Market returns
    RE -0.0240761 -0.0133221 -0.0115128
    weight 0.333333 0.666667
    SD 0.089552 0.110219 0.067354

    X-mean
    Weatern Canada Eastern Canada Market returns
    -36.77% -52.73% -30.28%
    -7.57% -6.79% -4.48%
    1.74% 0.80% 0.85%
    8.52% 10.19% 5.67%
    33.61% 39.54% 31.23%

    WESTERN &MARKETEastern Canada WE and market


    Covariances 0.00595412689592 0.00736602055712 0.00689538933672
    88
    one risky portfolio, one market portfolio & one hedge portoflio with 3 senario to calculate Beta and Alpha

    Risk-free Firm A
    Expected Return 0.0107
    vairance 0.003294
    0.002500 SD 0.057397

    A& Market
    Covariance 0.002769466578

    A& Market
    Beta 1.0027
    CPS stocks (risky portfolio)
    CAPM return 0.0005
    Alpha 0.01017

    The Consumption CAPM

    WE portfolio b)      Step Two: Calculations of Covar


    -0.491 c)       Step three: Calculations of the co
    -0.0874
    -0.00576666666666667
    0.0794333333333333
    0.358733333333333

    WE portfolio Weatern Canada


    -0.0169067666666667 Coefficient of A -3.36116450821926
    86
    0.102974

    we protfolio
    -47.41%
    -7.05%
    1.11%
    9.63%
    37.56%
    Beta and Alpha

    Market portfolio Inflation-Hedging Portfolio


    -0.00004 0.002633
    0.002762 0.000204
    0.052555 0.014293

    A & inflation-H
    0.000811220463375

    A & inflation-H
    3.97119577955954
    isky portfolio) CPS stocks (risky portfolio)
    Variance SD
    0.00653373305383903 0.0808315102781027

    a)      Step one: Calculations of Expected return of each portfolio


    Step Two: Calculations of Covariances between market portfolio and rest three portfolios
    Step three: Calculations of the coefficient A (or depends on average coefficient risk aversion) for each consumption-tracking portfo

    Eastern Canada we protfolio


    -2.71690797559011 -2.90234517918022
    87 89
    sumption-tracking portfolio

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