Econ 325代做、代写data留学生、代做Java程序设计、c/c++，Python语言代写

日期：2019-11-22 10:26

Econ 325 (004)

Winter Session, Term 1, 2019

M. Vaney

Lab 1 - Portfolio Frontiers and CAPM

The Öle 325-lab1.csv contains data on the monthly returns on a number of Canadian stocks

over a 5 year period from September 30 2010 through September 30 2015. Holding period

returns ri =income +Pi

Pi1

are provided for the following 10 stocks traded on the Toronto Stock

Exchange (TSX)

asset Örm Ticker

r1 Air Canada AC

r2 Bank of Montreal BMO

r3 Sherritt International Corp S

r4 Canfor Corporation CFP

r5 Canadian Natural Resources Limited CNQ

r6 Canadian Tire Corporation Limited CTC

r7 Loblaw Companies Ltd. L

r8 Potash Corporation of Saskatchewan POT

r9 Sun Life Financial Inc. SLF

r10 TC Pipelines LP TRP

Portfolio Returns and Variances

The Expected or mean return of a portfolio of N risky assets will be

is the fraction of wealth held in risky asset i; Pni=1 i = 1.

For a portfolio consisting of 2 risky assets the variance of returns will be:

For a portfolio consisting of 3 risky assets the variance of returns will be:

A Portfolio Frontier will trace out the mean and standard deviation of the set of portfolios

that minimize variance for a given level of expected return.

When there are two risky assets, both risky assets will lie on the portfolio frontier. The

portfolio frontier can therefore be constructed by assigning a portfolio weight  to one of

the assets and the weight (1) to the other asset. If 0 1 then no short sales are

permitted and non-negative quantities of each asset must be held in the portfolio.

1

Portfolio Frontiers

Prepare the following tables and Ögures:

1. A table that shows the average return and standard deviation for each of the 10 stocks.

2. A table that shows the correlation between all pairs of Örms.

3. A scatter plot that shows the average returns (y axis) and standard deviations (x axis)

of each of the 10 stocks.

4. Portfolio frontiers for the following three pairs of stocks:

(i) AC and SLF

(ii) AC and L

(iii) CTC and SLF

2