Need help with your Discussion

Get a timely done, PLAGIARISM-FREE paper
from our highly-qualified writers!

glass
pen
clip
papers
heaphones

USF Statistics Report on Its Holding Period Returns Worksheet

USF Statistics Report on Its Holding Period Returns Worksheet

USF Statistics Report on Its Holding Period Returns Worksheet

Question Description

This project’s purpose is to form a portfolio with 2 risky assets (2 common stocks) and 1 risk-free asset (1-year Treasury Bills), and calculate the optimal portfolio weights among these assets.

Pick 2 stocks you are interested in investing (They can be any stock, as long as they are common stocks listed on NYSE/Nasdaq/Amex). For each of the stock, do the following:

(1) Obtain its 5-year historical daily prices (1/1/2015 – 12/31-2019) on Yahoo finance and calculate its daily holding period returns.

(2) Generate a summary statistics report on its holding period returns.

(3) Create a Histogram chart on its holding period returns.

(4) Estimate its annualized volatility using all the holding period returns from (1).

(5) Use the S&P 500 holding period returns during the same period as market return, run a regression to estimate the beta of this stock. Y: stock return minus risk-free rate. X: market return minus risk-free rate. You can use 1.5% as risk-free rate.

(6) Once beta is estimated, calculate the expected return of this stock using CAPM. According to CAPM, Expected return = Rf + beta*(Rm-Rf). Note that Rf should be an annual return, Rm should also be an annualized return, which can be calculated using average of daily S&P 500 returns in part (5) multiplied by 252.

(7) Use the expected return and annualized volatility you estimated in part (4) and (6), simulate daily stock prices for the next 252 days, assuming stock prices follow Geometric Brownian Motion.

(8) Form a portfolio with both stocks and risk-free asset. Estimate the correlation coefficients between two stocks. Use this formula =CORREL(HPRs of stock1, HPRs of stock 2)

(9) Set a target portfolio return, use Solver to estimate the optimal weights for all assets in your portfolio. (Tip: If your solver is unable to give you a solution, consider changing your target portfolio return to a more realistic number, for example, if both your stocks have expected returns around 10% based on CAPM, setting a target portfolio return of 20% will probably not work.)

Have a similar assignment? "Place an order for your assignment and have exceptional work written by our team of experts, guaranteeing you A results."

Order Solution Now

Our Service Charter


1. Professional & Expert Writers: Essay Noon only hires the best. Our writers are specially selected and recruited, after which they undergo further training to perfect their skills for specialization purposes. Moreover, our writers are holders of masters and Ph.D. degrees. They have impressive academic records, besides being native English speakers.

2. Top Quality Papers: Our customers are always guaranteed of papers that exceed their expectations. All our writers have +5 years of experience. This implies that all papers are written by individuals who are experts in their fields. In addition, the quality team reviews all the papers before sending them to the customers.

3. Plagiarism-Free Papers: All papers provided by Essay Noon are written from scratch. Appropriate referencing and citation of key information are followed. Plagiarism checkers are used by the Quality assurance team and our editors just to double-check that there are no instances of plagiarism.

4. Timely Delivery: Time wasted is equivalent to a failed dedication and commitment. Essay Noon are known for the timely delivery of any pending customer orders. Customers are well informed of the progress of their papers to ensure they keep track of what the writer is providing before the final draft is sent for grading.

5. Affordable Prices: Our prices are fairly structured to fit in all groups. Any customer willing to place their assignments with us can do so at very affordable prices. In addition, our customers enjoy regular discounts and bonuses.

6. 24/7 Customer Support: At Essay Noon, we have put in place a team of experts who answer all customer inquiries promptly. The best part is the ever-availability of the team. Customers can make inquiries anytime.

We Can Write It for You! Enjoy 20% OFF on This Order. Use Code SAVE20

Stuck with your Assignment?

Enjoy 20% OFF Today
Use code SAVE20