Show formulas used in each highlighted cell. Calculate portfolio statistics Perc
ID: 2768579 • Letter: S
Question
Show formulas used in each highlighted cell.
Calculate portfolio statistics Percentage in BA 60.00% Percentage in K 40.00% Expected portfolio return, E (r_p) Portfolio variance, Var (r_p) Portfolio standard deviation, sigma_p Calculate portfolio statistics for each of the following portfolio combination Percentage in BA Sigma Expected return 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Identify the invariance portfolio that consists of stocks K and XOM. report the results below Percentage in BA Percentage in K Draw a scatter chart below to show the efficient frontier 0.00% 20% 30% 40% 50% 60% 70% 80% 90% 100%Explanation / Answer
Boeing (BA) Kellogg (K) Avg 10.75% 6.28% Variance 0.1153 0.0166 Sigma 33.94% 12.87% Cov(rBA,rK) -0.0043 % in BA 60% % in K 40% Expected Portfolio return 8.96% Er= r1*w1+ r2 *w2 (r is return and w is weight) Portfolio var 0.042 portfolio variance = (weight(1)^2*variance(1) + weight(2)^2*variance(2) + 2*weight(1)*weight(2)*covariance(1,2) Portfolio St. Dev. 0.205 portfolio sigma = SQRT{(w1^2*sigma1^2)+(w2^2*sigma2^2)+(2*w1*w2*cov(1,2))} % In BA Sigma expected return 0% 12.87 6.28 10% 11.75 6.73 20% 11.76 7.17 30% 12.91 7.62 40% 14.94 8.07 50% 17.55 8.52 60% 20.51 8.96 70% 23.69 9.41 80% 27.02 9.86 90% 30.45 10.30 100% 33.94 10.75 use same formula as above with different weights the question in Part C is not clear