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FIN2212E GroupAssignment 3
FIN2212E GroupAssignment 3
P1-P0 P1-P0
R= R=
P0 P0
0.0834655597103883 8% 0.131918480257613
∑R ∑R
AAR = AAR =
T T
0.0208663899275971 2% 0.0329796200644032
√ ∑( R - AAR )2 √ ∑( R - AAR )2
SD= SD=
T-1 T-1
√ √
SD A(2017) = ( 66% - 17% )2 SD B(2017) = ( 56% - 14% )2
4-1 4-1
√ 0.08202368 √ 0.05937073
29% 24%
√ √
SD A(2016) = ( 8% - 2% )2 SD B(2016) = ( 13% - 3% )2
4-1 4-1
√ 0.00130622 √ 0.00326297
4% 6%
√ √
SD A(2015) = (-6% -(-2%)2 SD B(2015) = ( -53% - ( -13% ))2
4-1 4-1
√ 0.00072301 √ 0.05352501
3% 23%
√ √
SD A(2014) = (-6% -(-2%)2 SD B(2014) = ( -7% - ( - 2% ))2
4-1 4-1
√ 0.0007191 √ 0.0009836
3% 3%
∑ SD A= 38% ∑ SD B= 56%
OSE VALUE
56%
13%
-53%
-7%
14%
3%
-13%
-2%
Question 2 A correlation coefficient of
Portfolio Weight for Stock A AAR A Expected Return W*AAR SUM OF RETURN
P1 100% 16% 16% 16%
P2 90% 16% 14% 14%
P3 80% 16% 12% 13%
P4 70% 16% 11% 12%
P5 60% 16% 9% 10%
P6 50% 16% 8% 9%
P7 40% 16% 6% 8%
P8 30% 16% 5% 6%
P9 20% 16% 3% 5%
P10 10% 16% 2% 4%
P11 0% 16% 0% 2%
85%
0.14155969133371
0.376244191096302
38%
SDP2 0.705323989448113
0.235
2
Stock B AAR 2% SDB 56%
Stock A 16% provide a better expected return than Stock B 2%, meanwhile Stock B 56% slighty risk then Stock A
is preferable.
SDp
0 0.14156 0.376244 38%
0.008968 0.126807 0.3561 36%
0.015943 0.119243 0.345316 35%
0.020926 0.118868 0.344772 34%
0.023915 0.125682 0.354516 35%
0.00034 0.115113 0.339283 34%
0.00928 0.146241 0.382415 38%
0.020926 0.189257 0.435037 44%
0.015943 0.224827 0.474159 47%
0.008968 0.267585 0.517287 52%
0 0.317533 0.563501 56%
Rm = 9% Rf = 2%
RM 0.09 RM
RF 0.02 RF
0.76 R= Rf + Bp(Rm- Rf)
Weight for Stock B Beta SUM OF BETA
0.00 0 0.02 1.45 14%
0.10 0.076 0.03 1.38 14%
0.20 0.152 0.03 1.31 13%
0.30 0.228 0.04 1.24 13%
0.40 0.304 0.04 1.17 12%
0.50 0.38 0.05 1.11 12%
0.60 0.456 0.05 1.04 11%
0.70 0.532 0.06 0.97 11%
0.80 0.608 0.06 0.90 10%
0.90 0.684 0.07 0.83 10%
1.00 0.76 0.07 0.76 9%
0.09
0.02
Samsung Electronics Co., Ltd (BC94.L) HYUNDAI MOTOR COMPANY GDR (REPR (HYUD.IL)
Stock A Stock B