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Econ 325作业代做、代写data留学生作业、代做Java程序设计作业、c/c++，Python语言作业代写
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
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