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FIN4017 Computational Methods for Finance Classwork 1

Question 2

Closing price of HSB
Date
3/30/2012
103.5
3/29/2012
104.5
3/28/2012
105.4
3/27/2012
105.1
3/26/2012
103.5
3/23/2012
103.5
3/22/2012
104
3/21/2012
102.7
3/20/2012
103.4
3/19/2012
103.9
3/16/2012
104
3/15/2012
104.7
3/14/2012
103.8
3/13/2012
104.6
3/12/2012
105
3/9/2012
108.7
3/8/2012
108.6
3/7/2012
107.3
3/6/2012
106.9
3/5/2012
107.1
3/2/2012
107.3
3/1/2012
108
2/29/2012
108.7
2/28/2012
106.8
2/27/2012
101.5
2/24/2012
103.1
2/23/2012
102.2
2/22/2012
102.5
2/21/2012
102.4
2/20/2012
102.1
2/17/2012
102.7
2/16/2012
102.2
2/15/2012
102.6
2/14/2012
100.1
2/13/2012
101.1
2/10/2012
100.2
2/9/2012
102
2/8/2012
102.3
2/7/2012
101.3
2/6/2012
100.4

Daily return of
HSB
-0.9569%
-0.8539%
0.2854%
1.5459%
0.0000%
-0.4808%
1.2658%
-0.6770%
-0.4812%
-0.0962%
-0.6686%
0.8671%
-0.7648%
-0.3810%
-3.4039%
0.0921%
1.2116%
0.3742%
-0.1867%
-0.1864%
-0.6481%
-0.6440%
1.7790%
5.2217%
-1.5519%
0.8806%
-0.2927%
0.0977%
0.2938%
-0.5842%
0.4892%
-0.3899%
2.4975%
-0.9891%
0.8982%
-1.7647%
-0.2933%
0.9872%
0.8964%
-0.2979%

Closing price of
MTR
27.85
27.5
27.8
27.9
27.65
27.1
27.6
27.4
27.25
27.45
27.6
27.8
27.7
27.9
27.75
27.8
27.45
27.3
27.25
27.15
27.2
27.35
27.4
27.45
27.05
26.9
26.8
26.8
26.9
26.75
26.9
26.8
27.2
26.5
26.4
26.3
26.5
26.6
26.25
26.1

Daily return of MTR
1.2727%
-1.0791%
-0.3584%
0.9042%
2.0295%
-1.8116%
0.7299%
0.5505%
-0.7286%
-0.5435%
-0.7194%
0.3610%
-0.7168%
0.5405%
-0.1799%
1.2750%
0.5495%
0.1835%
0.3683%
-0.1838%
-0.5484%
-0.1825%
-0.1821%
1.4787%
0.5576%
0.3731%
0.0000%
-0.3717%
0.5607%
-0.5576%
0.3731%
-1.4706%
2.6415%
0.3788%
0.3802%
-0.7547%
-0.3759%
1.3333%
0.5747%
0.0000%

15 25.6551% 0.0847% 1.1969% 0.5305% 1.3 93.7968% 0.9653% 1.0536% 0.1540% Standard deviation of HSB return 1.05 25.4970% -0.0030% -0.3817% 0.1811% 1.85 93.35 97.5894% Mean Return of HSB 0.1976% -0.7 100.1 102.75 94.6 101.2 26.0000% -0.7 25.6 93.3996% -0.25 92.9067% -0.1 25.0048% Correlation between HSB and MTR 45.85 96.3659% 0.1066% 0.1912% 0.8 25.3972% -1.8644% Covariance between HSB and MTR 0.5 99.5330% 1.2267% -0.75 93.3 25.0000% -0.25 92.3751% 0.1 26.7 1.2 93.9 93.1735% Mean Return of MTR 0.9881% 0.5 101.35 25.6807% 1.05 25.65 93.8 95.2498% Standard deviation of MTR return 0.1601% 26.9881% 0.4 25.9852% 2.3945% 1.35 25.3891% 1.6 25.25 25.2/3/2012 2/2/2012 2/1/2012 1/31/2012 1/30/2012 1/27/2012 1/26/2012 1/20/2012 1/19/2012 1/18/2012 1/17/2012 1/16/2012 1/13/2012 1/12/2012 1/11/2012 1/10/2012 1/9/2012 1/6/2012 1/5/2012 1/4/2012 1/3/2012 100.4 25.05 25.1 100.4532% -0.1719% -0.3 25.45 -0.5941% 0.3 25.7752% 0.7 99.7019% -1.1641% 1.25 25.1996% -0.9 25.4946% -1.2756% .1834% -0.

15% 0.00% 20.2498% 0.17% 0.17% 1.00% 4.15% 0.00% 5.00% 3.00% 100.00% 80.00% 7.5 0.50% 3.Stock HSB MTR F Return (ri) 0.00% 0.17% 0.5 1 Sum sp Wops 0.50% rp 7.16% 0.00% 70.02% 0.00% 60.16% 0.87% 0.00% 1.1735% 0.00% 50.15% 0.1540% 1.00% 1.09% 1.84% 0.86% 0.01% Weight 0.00% 3.00% 6.83% 0.00% 2.50% 5.00% 0.8644% 0.00% 120.00% 0.0000% Std dev (si) 1.00% 0.00% 4.00% 10.00% 40.50% 2.00% 1.84% 0.00% 6.00% 2.00% 4.16% 0.25% 1.50% 1.00% 2.00% sp rp 0.00% .16% 0.90% 0.0000% Corr(rab) Wc 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% -10% -20% -30% Wd 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 110.15% 1.95% 1.00% 3.17% 0.17% 0.00% 120.00% 5.96% 0.00% 6.00% 130.50% 4.17% 0.00% 130.4528 0.16% 0.00% 110.00% 5.91% 0.00% 90.00% 30.50% 6.

00% 0.80% 1.00% 1.15% 0.60% 5.80% 6.00% 0.20% 4.40% 5.50% 2.00% 2.sp rp 5.00% 3.00% 1.00% 0.40% 1.20% 0.20% 2.16% 0.40% 0.00% 3.00% 1.00% rp 1.50% 7.50% 1.16% 0.17% 0.00% 4.15% 0.60% 3.50% 3.00% Sharpe 5.40% .18% 0.20% 0.80% 4.17% 0.60% 0.80% 2.40% 3.20% 1.80 rp 0.00% 5.

rp 1.40% .