|
Table 1 (a) |
|||||
|
Cov(RiRm) |
|||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
0.0058 |
0.0055 |
0.0061 |
0.0085 |
0.0091 |
0.0052 |
|
Quarterly Expected Return |
|||||
|
-0.2482 |
-0.1638 |
-0.1475 |
-0.3342 |
-0.4338 |
-0.2573 |
|
Table 1 (B) |
|||||
|
Annualized Cov(RiRm) |
|||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
0.0231 |
0.0221 |
0.0245 |
0.0342 |
0.0366 |
0.0210 |
|
Annualized Expected Return |
|||||
|
-0.6805 |
-0.5111 |
-0.4718 |
-0.8035 |
-0.8972 |
-0.6957 |
Ans.1
| Microsoft Excel 12.0 Answer Report | ||||||
| Worksheet: [Assignment DATA4.xls]Ans 1 | ||||||
| Report Created: 5/31/2012 8:19:30 AM | ||||||
| Target Cell (Min) | ||||||
|
Cell |
Name |
Original Value |
Final Value |
|||
| $Y$36 | Q4 2000 variance |
0.0121 |
0.0062 |
|||
| Adjustable Cells | ||||||
|
Cell |
Name |
Original Value |
Final Value |
|||
| $R$36 | Q4 2000 BHP |
0.1670 |
0.4224 |
|||
| $S$36 | Q4 2000 NAB |
0.1670 |
0.0000 |
|||
| $T$36 | Q4 2000 ANZ |
0.1670 |
0.3351 |
|||
| $U$36 | Q4 2000 RIO |
0.1670 |
0.0000 |
|||
| $V$36 | Q4 2000 AWC |
0.1660 |
0.0000 |
|||
| $W$36 | Q4 2000 WPL |
0.1660 |
0.2425 |
|||
| Constraints | ||||||
|
Cell |
Name |
Cell Value |
Formula |
Status |
Slack |
|
| $X$36 | Q4 2000 weights |
1.0000 |
$X$36=1 | Not Binding |
0 |
|
Ans2 .
Maximum returns when short sales not allowed
| Microsoft Excel 12.0 Answer Report | |||||||||||||
| Worksheet: [Assignment DATA4.xls]Ans 1 | |||||||||||||
| Report Created: 5/31/2012 8:54:00 AM | |||||||||||||
| Target Cell (Max) | |||||||||||||
|
Cell |
Name |
Original Value |
Final Value |
||||||||||
| $Y$48 | Q4 2003 variance |
0.0000 |
0.0000 |
||||||||||
| Adjustable Cells | |||||||||||||
|
Cell |
Name |
Original Value |
Final Value |
||||||||||
| $R$48 | Q4 2003 BHP |
0.0000 |
0.0000 |
||||||||||
| $S$48 | Q4 2003 NAB |
0.0129 |
0.0129 |
||||||||||
| $T$48 | Q4 2003 ANZ |
0.0000 |
0.0000 |
||||||||||
| $U$48 | Q4 2003 RIO |
0.0129 |
0.0129 |
||||||||||
| $V$48 | Q4 2003 AWC |
0.0129 |
0.0129 |
||||||||||
| $W$48 | Q4 2003 WPL |
0.0000 |
0.0000 |
||||||||||
| Constraints | |||||||||||||
|
Cell |
Name |
Cell Value |
Formula |
Status |
Slack |
||||||||
| $X$48 | Q4 2003 weights |
0.0388 |
$X$48>=0 | Not Binding |
0.0388 |
||||||||
|
Minimum returns when short sales not allowed
Microsoft Excel 12.0 Answer Report |
|||||||||||||
| Worksheet: [Assignment DATA4.xls]Ans 1 | |||||||||||||
| Report Created: 5/31/2012 8:51:02 AM | |||||||||||||
| Target Cell (Min) | |||||||||||||
|
Cell |
Name |
Original Value |
Final Value |
||||||||||
| $Y$68 | Q4 2008 variance |
0.0000 |
0.0000 |
||||||||||
| Adjustable Cells | |||||||||||||
|
Cell |
Name |
Original Value |
Final Value |
||||||||||
| $R$68 | Q4 2008 BHP |
0.4224 |
0.4224 |
||||||||||
| $S$68 | Q4 2008 NAB |
0.0000 |
0.0000 |
||||||||||
| $T$68 | Q4 2008 ANZ |
0.3351 |
0.3351 |
||||||||||
| $U$68 | Q4 2008 RIO |
0.0000 |
0.0000 |
||||||||||
| $V$68 | Q4 2008 AWC |
0.0000 |
0.0000 |
||||||||||
| $W$68 | Q4 2008 WPL |
0.2425 |
0.2425 |
||||||||||
| Constraints | |||||||||||||
|
Cell |
Name |
Cell Value |
Formula |
Status |
Slack |
||||||||
| $X$68 | Q4 2008 weights |
1.0000 |
$X$68>=0 | Not Binding |
1.0000 |
||||||||
Ans. 3
Tangency Portfolio with a risk free bond and expected return -0.01
| Microsoft Excel 12.0 Answer Report | ||||||
| Worksheet: [Assignment DATA4.xls]Ans 1 | ||||||
| Report Created: 5/31/2012 9:02:37 AM | ||||||
| Target Cell (Min) | ||||||
|
Cell |
Name |
Original Value |
Final Value |
|||
| $Z$92 | variance |
0.0000 |
0.0000 |
|||
| Adjustable Cells | ||||||
|
Cell |
Name |
Original Value |
Final Value |
|||
| $R$92 | BHP |
0.0000 |
0.0000 |
|||
| $S$92 | NAB |
0.0129 |
0.0129 |
|||
| $T$92 | ANZ |
0.0000 |
0.0000 |
|||
| $U$92 | RIO |
0.0129 |
0.0129 |
|||
| $V$92 | AWC |
0.0129 |
0.0129 |
|||
| $W$92 | WPL |
0.0000 |
0.0000 |
|||
| $X$92 | Rf |
0.0000 |
0.0000 |
|||
| Constraints | ||||||
|
Cell |
Name |
Cell Value |
Formula |
Status |
Slack |
|
| $AB$92 | Return |
0.0000 |
$AB$92>=-0.1 | Not Binding |
0.1000 |
|
Answer 4 .
Samples for Rm-Rf and Ri-Rf
|
Ri-Rf |
||||||
| Rm-Rf | BHP | NAB | ANZ | RIO | AWC | WPL |
|
-0.8731881 |
-0.94413 |
-0.82176 |
-1.06948 |
-0.85943 |
-0.88635 |
-0.75535 |
|
-0.6900281 |
-0.62853 |
-0.70159 |
-0.70577 |
-0.69686 |
-0.78378 |
-0.7911 |
|
-0.680072 |
-0.64429 |
-0.61024 |
-0.5929 |
-0.73485 |
-0.60928 |
-0.80979 |
|
-0.7042378 |
-0.78583 |
-0.60732 |
-0.67592 |
-0.75293 |
-0.59713 |
-0.78321 |
|
-0.6539767 |
-0.61127 |
-0.56403 |
-0.67125 |
-0.63783 |
-0.91482 |
-0.57191 |
|
-0.6578798 |
-0.67803 |
-0.73376 |
-0.56112 |
-0.53767 |
-0.40311 |
-0.67814 |
|
-0.8140526 |
-0.81465 |
-0.83089 |
-0.78927 |
-0.84937 |
-0.73743 |
-0.82443 |
|
-0.7862485 |
-0.6763 |
-0.79687 |
-0.9167 |
-0.69849 |
-0.7388 |
-0.60909 |
|
Unsystematic Risk |
|||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
0.093028 |
0.075498 |
0.081373293 |
0.126891 |
0.129012 |
0.104525 |
| Total Risk | |||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
0.076915 |
0.073768 |
0.081717593 |
0.113906 |
0.12188 |
0.069876 |
|
Expected Returns(Quarterly) |
|||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
-0.18316 |
-0.14498 |
-0.24143423 |
-0.63196 |
-0.72871 |
-0.09777 |
|
Cov(RiRm) |
|||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
0.005768982 |
0.005533 |
0.006129 |
0.008544 |
0.009142 |
0.005241 |
| V(Rm)= |
0.005626 |
||||
| βi | |||||
| BHP | NAB | ANZ | RIO | AWC | WPL |
|
1.025458471 |
0.983503 |
1.089494 |
1.518642 |
1.624962 |
0.931622 |
KH60
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