- Arts & Culture 5856
- Business & Economics 679
- Computers 309
- Dictionaries & Encyclopedias 81
- Education & Science 74784
- Abstracts 100
- Astrology 4
- Astronomy 1
- Biology 8
- Chemistry 1982
- Coursework 15184
- Culture 9
- Diplomas 414
- Drawings 817
- Ecology 5
- Economy 84
- English 75
- Ethics, Aesthetics 3
- For Education Students 17543
- Foreign Languages 11
- Geography 2
- Geology 1
- History 89
- Maps & Atlases 4
- Mathematics 13808
- Musical Literature 2
- Pedagogics 19
- Philosophy 23
- Physics 14735
- Political Science 5
- Practical Work 59
- Psychology 60
- Religion 4
- Russian and culture of speech 8
- School Textbooks 7
- Sexology 42
- Sociology 9
- Summaries, Cribs 87
- Test Answers 145
- Tests 8962
- Textbooks for Colleges and Universities 32
- Theses 7
- To Help Graduate Students 13
- To Help the Entrant 37
- Vetting 361
- Works 13
- Информатика 10
- Engineering 3059
- Fiction 696
- House, Family & Entertainment 107
- Law 132
- Website Promotion 71
The calculation of the expected return (case study)
Refunds: 0
Uploaded: 07.07.2013
Content: 30707120347733.zip 94,65 kB
Product description
Subject of practical tasks
The calculation of the expected return, risk and correlations between securities in the portfolio.
Explanation of the job
1. Using the proposed baseline data, perform analysis of isolated securities included in the hypothetical portfolio.
2. The task will be accompanied by necessary comments and explanations.
To form the optimal portfolio is necessary to analyze the assets that are candidates for inclusion in the portfolio separately from each other, ie, isolation. The isolated analysis of assets will determine the expected return of each asset, the indicators characterizing the risks associated with the asset, and the relationship between assets.
Part 1: The expected return (expected return)
Table of monthly increments for 2007
Month Vimpelcom, Norilsk Nickel, Lukoil Surgut Rostelecom
January + 8% + 9% + 8% + 6% -2%
February 3% + 9% + 1% + 10% + 8%
March 0% + 10% + 5% + 17% + 1%
April -13% -10% -18% -12% -9%
May -4% + 2% -6% -2% -6%
June + 1% -3% -6% + 3% + 4%
July -8% + 4% + 4% -7% -13%
August + 11% + 9% + 11% + 2% + 10%
September + 9% + 5% + 13% + 4% + 11%
October 6% -1% -4% + 1% + 8%
November -14% -2% -9% -8% -9%
December 0% -5% -8% -17% -3%
Table 2
The calculation of the expected return of VimpelCom
The yield rate Probability Expected return (the product of the first and third columns), bp
1 1/12 -14 -1.17
1 1/12 -13 -1.08
-8 1 1/12 -0.67
-4 1 1/12 -0.33
2 0 0 2/12
1 1 1/12 0.08
3 1 1/12 0.25
6 1 1/12 0.5
8 1 1/12 0.66
9 1 1/12 0.75
+11 1 1/12 0.92
Amount January 12 -0.09
The calculation of the expected return of Lukoil
The calculation of the expected return of Norilsk Nickel
The calculation of the expected return of Surgut
The calculation of the expected return of Rostelecom
The yield rate Probability Expected return (the product of the first and third columns), bp
Expected yields
Part 2: Dispersion (variance) and standard deviation (standard deviation)
Variance and standard deviation
Part 3. Covariance (covariance) and correlation (correlation)
Covariance - a measure that takes into account the variance of the individual
Table covariance
Table of correlation
References
Additional information
13 pages
Feedback
0Period | |||
1 month | 3 months | 12 months | |
0 | 0 | 0 | |
0 | 0 | 0 |