FINC 3330 Quant Project Seungho Baek Due: Sunday, Aug. 16, 2020, 11:59 P.M. Consolidate all excel spreadsheets from part1 in a single Excel file. Please make a cover page (name and ID) in Sheet1 in...

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Answered Same DayAug 14, 2021

Answer To: FINC 3330 Quant Project Seungho Baek Due: Sunday, Aug. 16, 2020, 11:59 P.M. Consolidate all excel...

Sweety answered on Aug 17 2021
153 Votes
Cover page
                    NAME
                    STUDENT ID
SOLUTION TO PART 2
    PART 2
    1)    SOLUTION TO PROBLEM 1
        EXPECTED RETURN & STANDARD DEVIATION
            PORTFOLIO 1        PORTFOLIO 2
            Apple     Microsoft    DISNEY    BOEING    AMAZON    TESLA    NETFLIX
        Avaerage Return(X1)    2.19%    1.56%    1.55%    1.75%    2.53%    3.67%    4.52%
        Standard Deviation P    7.41    6.11    5.88    7.05    10.95    15.62    17.17
        COVARIANCE MATRIX
            PORTFOLIO 1        PORTFOLIO 2
            Apple     Microsoft    DISNEY    BOEING    AMAZON    TESLA    NETFLIX
        PORTFOLIO 1
        Apple    - 0    18.77    - 0    - 0    - 0    - 0    - 0
        MSFT    18.77    - 0    - 0    - 0    - 0    - 0    - 0
        PORTFOLIO 2
        DISNEY    - 0    - 0    - 0    17.01    13.66    7.54    16.36
        BOEING    - 0    - 0    17.01    - 0    20.19    0.29    24.68
        AMAZON    - 0    - 0    13.66    20.19    - 0    3.49    47.31
        TESLA    - 0    - 0    7.54    0.29    3.49    - 0    46.93
        NETFLIX    - 0    - 0    16.36    24.68    47.31    46.93    - 0
    3)    SOLUTION TO PROBLEM 3
            Weight
(A)    Expected Return
(B)    Standard Deviation
( C )    A*B
        Apple     0.5    2.19%    7.41    1.09%
        Microsof
t    0.5    1.56%    6.11    0.78%
                        1.88%
                    
        Expected Return of portfolio    1.88%
        Standard Deviation    6.75
    4)    SOLUTION TO PROBLEM 4
            Weight
(A)    Expected Return
(B)    Standard Deviation
( C )    A*B    Weight*Weight*standard deviation *standard deviation
        DISNEY    0.25    1.55%    5.88    0.39%    2.16
        BOEING    0.25    1.75%    7.05    0.44%    3.11
        AMAZON    0.25    2.53%    10.95    0.63%    7.49
        TESLA    0.25    3.67%    15.62    0.92%    15.25
        NETFLIX    0.25    4.52%    17.17    1.13%    18.43
                        0.82%    46.44
                    
         Table for calculating (2*Weight*Weight*Standard deviation*Standard Deviation)
            DISNEY    BOEING    AMAZON    TESLA    NETFLIX
        DISNEY    0.00    5.18    4.02    11.48    6.31
        BOEING    5.18    0.00    9.65    13.77    15.13
        AMAZON    4.02    9.65    0.00    21.38    23.50
        TESLA    11.48    13.77    21.38    0.00    33.52
        NETFLIX    6.31    15.13    23.50    33.52    0.00
        Expected Return of Portfolio    0.82%
        (Standard Deviation)2     190.38
        Standard deviation    13.8
    NOTE     The SOLTUION TO 5, 6 , 7 , 8, Can be explained from working note sheet
SOLUTION TO PART 3
    PART 2
    1)    SOLUTION TO PROBLEM 1
         Calculation of Weight of Minimum Variance portfolio using portfolio 1
        STOCK    Standard Deviation    Variance     cov(APPL,MSFT)
        Apple     7.41    54.91    18.77
        Microsoft    6.11    37.33
        Therefore optimum weight that minimizes the portfolio standard deviation are:
        Weight of Apple    0.34
        Weight of MSFT    0.66
    2)    SOLUTION TO PROBLEM 2
            Expectec return    STANDARD DEV
        Portfolio 1    1.88%    6.75
        Portfolio 2    0.82%    13.8
        Weight of Apple    0.28
        weight of microsoft    0.72
    3)    Computaion of VaR 99% IS
        MINIUM VARIANCE    119.93
        TANGENT PORTFOLIO    119.93
SOLUTION TO PART 1
    Jan-10    25.74
    Feb-10    27.21
    Mar-10    30.41
    Apr-10    32.09
    May-10    29.11
    Jun-10    27.44
    Jul-10    29.34
    Aug-10    28.34
    Sep-10    28.83
    Oct-10    31.47
    Nov-10    31.80
    Dec-10    32.67
    Jan-11    34.23
    Feb-11    38.52
    Mar-11    37.94
    Apr-11    37.95
    May-11    36.66
    Jun-11    34.38
    Jul-11    34.01
    Aug-11    29.99
    Sep-11    26.56
    Oct-11    30.71
    Nov-11    31.57
    Dec-11    33.02
    Jan-12    34.83
    Feb-12    37.60
    Mar-12    39.20
    Apr-12    38.60
    May-12    40.93
    Jun-12    43.42
    Jul-12    44.00
    Aug-12    44.29
    Sep-12    46.81
    Oct-12    43.98
    Nov-12    44.46
    Dec-12    44.58
    Jan-13    48.98
    Feb-13    49.63
    Mar-13    51.64
    Apr-13    57.13
    May-13    57.35
    Jun-13    57.41
    Jul-13    58.77
    Aug-13    55.30
    Sep-13    58.63
    Oct-13    62.35
    Nov-13    64.13
    Dec-13    69.45
    Jan-14    66.82
    Feb-14    74.37
    Mar-14    73.69
    Apr-14    73.02
    May-14    77.32
    Jun-14    78.91
    Jul-14    79.04
    Aug-14    82.72
    Sep-14    81.94
    Oct-14    84.10
    Nov-14    85.14
    Dec-14    86.68
    Jan-15    84.78
    Feb-15    97.00
    Mar-15    97.76
    Apr-15    101.33
    May-15    102.87
    Jun-15    106.38
    Jul-15    111.84
    Aug-15    95.51
    Sep-15    95.81
    Oct-15    106.62
    Nov-15    106.37
    Dec-15    98.51
    Jan-16    90.40
    Feb-16    90.12
    Mar-16    93.69
    Apr-16    97.42
    May-16    93.61
    Jun-16    92.29
    Jul-16    90.52
    Aug-16    89.77
    Sep-16    88.24
    Oct-16    88.08
    Nov-16    94.19
    Dec-16    99.04
    Jan-17    105.96
    Feb-17    105.42
    Mar-17    108.58
    Apr-17    110.70
    May-17    103.37
    Jun-17    101.75
    Jul-17    105.27
    Aug-17    97.63
    Sep-17    95.09
    Oct-17    94.36
    Nov-17    101.12
    Dec-17    103.72
    Jan-18    105.68
    Feb-18    100.32
    Mar-18    97.68
    Apr-18    97.57
    May-18    96.74
    Jun-18    101.93
    Jul-18    110.44
    Aug-18    109.82
    Sep-18    114.64
    Oct-18    112.57
    Nov-18    113.22
    Dec-18    107.49
    Jan-19    110.17
    Feb-19    111.48
    Mar-19    109.69
    Apr-19    135.32
    May-19    130.45
    Jun-19    137.95
    Jul-19    141.28
    Aug-19    136.44
    Sep-19    129.54
    Oct-19    129.15
    Nov-19    150.68
    Dec-19    143.77
40179    40210    40238    40269    40299    40330    40360    40391    40422    40452    40483    40513    40544    40575    40603    40634    40664    40695    40725    40756    40787    40817    40848    40878    40909    40940    40969    41000    41030    41061    41091    41122    41153    41183    41214    41244    41275    41306    41334    41365    41395    41426    41456    41487    41518    41548    41579    41609    41640    41671    41699    41730    41760    41791    41821    41852    41883    41913    41944    41974    42005    42036    42064    42095    42125    42156    42186    42217    42248    42278    42309    42339    42370    42401    42430    42461    42491    42522    42552    42583    42614    42644    42675    42705    42736    42767    42795    42826    42856    42887    42917    42948    42979    43009    43040    43070    43101    43132    43160    43191    43221    43252    43282    43313    43344    43374    43405    43435    43466    43497    43525    43556    43586    43617    43647    43678    43709    43739    43770    43800    25.738925999999999    27.210964000000001    30.407646    32.088740999999999    29.10981    27.437429000000002    29.344988000000001    28.343299999999999    28.831081000000001    31.470296999999999    31.801286999999999    32.672320999999997    34.227241999999997    38.515555999999997    37.943199    37.951999999999998    36.657589000000002    34.376938000000003    34.007111000000002    29.991772000000001    26.557594000000002    30.713825    31.567965000000001    33.020885    34.828868999999997    37.595486000000001    39.198146999999999    38.598274000000004    40.926158999999998    43.424168000000002    43.997188999999999    44.292659999999998    46.808562999999999    43.979281999999998    44.462772000000001    44.579163000000001    48.981926000000001    49.627380000000002    51.636471    57.127398999999997    57.345581000000003    57.409218000000003    58.772854000000002    55.300120999999997    58.627392    62.354686999999998    64.127410999999995    69.454696999999996    66.824157999999997    74.370750000000001    73.689719999999994    73.017899    77.315764999999999    78.907912999999994    79.036758000000006    82.718010000000007    81.935744999999997    84.098502999999994    85.138458    86.684593000000007    84.775940000000006    97.003951999999998    97.758887999999999    101.328491    102.86631800000001    106.38001300000001    111.841606    95.505775    95.805756000000002    106.623749    106.370651    98.505561999999998    90.400734    90.117690999999994    93.693352000000004    97.419944999999998    93.608436999999995    92.287612999999993    90.523369000000002    89.765015000000005    88.244536999999994    88.082977    94.193404999999998    99.039901999999998    105.960678    105.424408    108.584564    110.700897    103.365532    101.74715399999999    105.271187    97.632110999999995    95.094832999999994    94.361626000000001    101.12447400000001    103.719643    105.682114    100.323616    97.678398000000001    97.571426000000002    96.735068999999996    101.928246    110.43765999999999    109.81568900000001    114.638885    112.570404    113.217415    107.49234    110.173546    111.477608    109.68946099999999    135.31626900000001    130.445786    137.954025    141.28334000000001    136.44253499999999    129.543869    129.146255    150.67726099999999    143.76864599999999    
SOLUTION TO PART 4
    PORFOLIO1
    MONTH    STOCK PRICE        RETURN (X)        (Given Return-Expected Return)
        (Given Return-Expected Return)*
(Given return -Actual Return)
        APPLE
(APPL)    MICROSOFT
(TICKER MSFT)    APPLE
(%)    MICROSOFT
(%)    APPLE    MICROSOFT    APPLE    MICROSOFT
    Dec-19    293.65    157.70
    1/1/20    309.51    170.23    5.40%    7.95%
    2/1/20    273.36    162.01    -11.68%    -4.83%    -13.78    -8.10    189.88    65.59
    3/1/20    254.29    157.71    -6.98%    -2.65%    -6.98    -2.65    48.67    7.04
    4/1/20    293.80    179.21    15.54%    13.63%    15.54    13.63    241.41    185.85
    5/1/20    317.94    183.25    8.22%    2.25%    8.22    2.25    67.51    5.08
                10.50%    16.35%            547.46    263.56
                2.10%    3.27%            11.7    7.26
    PORTFOLIO 2
    MONTH    STOCK PRICE                    RETURN (X)                    (Given Return-Expected Return)
                    (Given Return-Expected Return)*
(Given return -Actual Return)
        DISNEY    BOEING    AMAZON    TESLA    NETFLIX    DISNEY    BOEING    AMAZON    TESLA    NETFLIX    DISNEY    BOEING    AMAZON    TESLA    NETFLIX    DISNEY    BOEING    AMAZON    TESLA    NETFLIX
    Dec-19    143.77    325.76    1847.84    418.33    323.57
    1/1/20    138.31    318.27    2008.72    650.57    345.09    -3.80%    -2.30%    8.71%    55.52%    6.65%    -0.55    10.43    2.39    36.99    1.23    0.31    108.88    5.70    1368.03    1.50
    2/1/20    117.65    275.11    1883.75    667.99    369.03    -14.94%    -13.56%    -6.22%    2.68%    6.94%    -14.94    -13.56    -6.22    2.68    6.94    223.13    183.90    38.71    7.17    48.13
    3/1/20    96.60    149.14    1949.72    524.00    375.50    -17.89%    -45.79%    3.50%    -21.56%    1.75%    -17.89    -45.79    3.50    -21.56    1.75    320.13    2096.63    12.26    464.65    3.07
    4/1/20    108.15    141.02    2474.00    781.88    419.85    11.96%    -5.44%    26.89%    49.21%    11.81%    11.96    -5.44    26.89    49.21    11.81    142.96    29.64    723.07    2421.99    139.50
    5/1/20    117.30    145.85    2442.37    835.00    419.73    8.46%    3.43%    -1.28%    6.79%    -0.03%    8.46    3.43    -1.28    6.79    -0.03    71.58    11.73    1.63    46.16    0.00
                            -16.21%    -63.67%    31.60%    92.65%    27.12%                        758.10    2430.78    781.37    4308.00    192.20
                            -3.24%    -12.73%    6.32%    18.53%    5.42%                        12.31    22.05    12.5    29.35    6.2
WORKING NOTE PART 2 (P1)
    MONTH    STOCK PRICE        RETURN (X)        (Given Return-Expected Return)*
(Given return -Actual Return)        (Given Return-Expected Return)*
(Given return -Actual Return)        COV(APLLE,Microsoft)
        APPLE
(APPL)    MICROSOFT
(TICKER MSFT)    APPLE
(%)    MICRO
(%)    APPLE    MICRO    APPLE    MICRO
    Dec-09    30.10    30.48                ...
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