Fundamentals of finance - Course project Problem 1cc.oulu.fi/~jope/FOF/CP/P1.pdfCourse project {...
Transcript of Fundamentals of finance - Course project Problem 1cc.oulu.fi/~jope/FOF/CP/P1.pdfCourse project {...
Course project – Problem 1
Problem 1
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I J K L M N O P Q R
1. Calculate the arithmetic returns of the five stocks.
J2: = B2/B1−1
0.2000 0.2653 0.4459 0.1593 0.3714
0.0076 0.0323− 0.0227 0.0666 0.1917
0.0337− 0.0416− 0.0801 0.0294− 0.1194
0.3152− 0.1469− 0.1851− 0.1345− 0.0733−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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I J K L M N O P Q R
1. Calculate the arithmetic returns of the five stocks.
J2: = B2/B1−1
0.2000
0.2653 0.4459 0.1593 0.3714
0.0076 0.0323− 0.0227 0.0666 0.1917
0.0337− 0.0416− 0.0801 0.0294− 0.1194
0.3152− 0.1469− 0.1851− 0.1345− 0.0733−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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I J K L M N O P Q R
1. Calculate the arithmetic returns of the five stocks.
J2: = B2/B1−1
0.2000 0.2653 0.4459 0.1593 0.3714
0.0076 0.0323− 0.0227 0.0666 0.1917
0.0337− 0.0416− 0.0801 0.0294− 0.1194
0.3152− 0.1469− 0.1851− 0.1345− 0.0733−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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O P Q R S T U V W X
2. Calculate the logarithmic returns of the five stocks.
P2: = LN(B2)−LN(B1)
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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O P Q R S T U V W X
2. Calculate the logarithmic returns of the five stocks.
P2: = LN(B2)−LN(B1)
0.1823
0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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O P Q R S T U V W X
2. Calculate the logarithmic returns of the five stocks.
P2: = LN(B2)−LN(B1)
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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U V W X Y Z AA AB AC AD
3. Calculate the logarithmic returns of the market portfolio.
V2: = LN(G2)−LN(G1)
0.0960
0.0280
0.0026
0.2035−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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U V W X Y Z AA AB AC AD
3. Calculate the logarithmic returns of the market portfolio.
V2: = LN(G2)−LN(G1)
0.0960
0.0280
0.0026
0.2035−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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U V W X Y Z AA AB AC AD
3. Calculate the logarithmic returns of the market portfolio.
V2: = LN(G2)−LN(G1)
0.0960
0.0280
0.0026
0.2035−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
4. Calculate the logarithmic returns of the risk-free portfolio.
X2: = LN(H2)−LN(H1)
0.0017
0.0017
0.0037
0.0038
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
4. Calculate the logarithmic returns of the risk-free portfolio.
X2: = LN(H2)−LN(H1)
0.0017
0.0017
0.0037
0.0038
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
4. Calculate the logarithmic returns of the risk-free portfolio.
X2: = LN(H2)−LN(H1)
0.0017
0.0017
0.0037
0.0038
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
5. Calculate the initial number of shares in the portfolio.
Z1: = 200000/B1
Here we assume that e200’000 of e1 million is allocated to each of the five stocks in the portfolio.
9091 136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
5. Calculate the initial number of shares in the portfolio.
Z1: = 200000/B1
Here we assume that e200’000 of e1 million is allocated to each of the five stocks in the portfolio.
9091 136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
5. Calculate the initial number of shares in the portfolio.
Z1: = 200000/B1
Here we assume that e200’000 of e1 million is allocated to each of the five stocks in the portfolio.
9091
136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
5. Calculate the initial number of shares in the portfolio.
Z1: = 200000/B1
Here we assume that e200’000 of e1 million is allocated to each of the five stocks in the portfolio.
9091 136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
9091 136054 13115 12346 114286
6. The number of shares is kept constant over the rest of the holding period.
Z2: = Z1
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
9091 136054 13115 12346 114286
6. The number of shares is kept constant over the rest of the holding period.
Z2: = Z1
9091
136054 13115 12346 114286
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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Y Z AA AB AC AD AE AF AG AH
9091 136054 13115 12346 114286
6. The number of shares is kept constant over the rest of the holding period.
Z2: = Z1
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
9091 136054 13115 12346 114286
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AE AF AG AH AI AJ AK AL AM AN
7. Calculate the values of the stock positions in the value-weighted portfolio.
AF1: = Z1*B1
200000 200000 200000 200000 200000
240000 253061 289180 231852 274286
241818 244898 295738 247284 326857
415091 972789 371279 277284 171429
284273 829932 302557 240000 158857
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AE AF AG AH AI AJ AK AL AM AN
7. Calculate the values of the stock positions in the value-weighted portfolio.
AF1: = Z1*B1
200000
200000 200000 200000 200000
240000 253061 289180 231852 274286
241818 244898 295738 247284 326857
415091 972789 371279 277284 171429
284273 829932 302557 240000 158857
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AE AF AG AH AI AJ AK AL AM AN
7. Calculate the values of the stock positions in the value-weighted portfolio.
AF1: = Z1*B1
200000 200000 200000 200000 200000
240000 253061 289180 231852 274286
241818 244898 295738 247284 326857
415091 972789 371279 277284 171429
284273 829932 302557 240000 158857
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AE AF AG AH AI AJ AK AL AM AN
200000 200000 200000 200000 200000
240000 253061 289180 231852 274286
241818 244898 295738 247284 326857
415091 972789 371279 277284 171429
284273 829932 302557 240000 158857
8. Calculate the value of the value-weighted portfolio.
AL1: = AF1+AG1+AH1+AI1+AJ1
1000000
1288379
1356595
2207871
1815619
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AE AF AG AH AI AJ AK AL AM AN
200000 200000 200000 200000 200000
240000 253061 289180 231852 274286
241818 244898 295738 247284 326857
415091 972789 371279 277284 171429
284273 829932 302557 240000 158857
8. Calculate the value of the value-weighted portfolio.
AL1: = AF1+AG1+AH1+AI1+AJ1
1000000
1288379
1356595
2207871
1815619
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AE AF AG AH AI AJ AK AL AM AN
200000 200000 200000 200000 200000
240000 253061 289180 231852 274286
241818 244898 295738 247284 326857
415091 972789 371279 277284 171429
284273 829932 302557 240000 158857
8. Calculate the value of the value-weighted portfolio.
AL1: = AF1+AG1+AH1+AI1+AJ1
1000000
1288379
1356595
2207871
1815619
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AM AN AO AP AQ AR AS AT AU AV
9. Calculate the weights of the stocks in the value-weighted portfolio.
AN2: = AF1/$AL1
0.200 0.200 0.200 0.200 0.200
0.186 0.196 0.224 0.180 0.213
0.193 0.456 0.154 0.128 0.069
0.188 0.441 0.168 0.126 0.078
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AM AN AO AP AQ AR AS AT AU AV
9. Calculate the weights of the stocks in the value-weighted portfolio.
AN2: = AF1/$AL1
0.200
0.200 0.200 0.200 0.200
0.186 0.196 0.224 0.180 0.213
0.193 0.456 0.154 0.128 0.069
0.188 0.441 0.168 0.126 0.078
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AM AN AO AP AQ AR AS AT AU AV
9. Calculate the weights of the stocks in the value-weighted portfolio.
AN2: = AF1/$AL1
0.200 0.200 0.200 0.200 0.200
0.186 0.196 0.224 0.180 0.213
0.193 0.456 0.154 0.128 0.069
0.188 0.441 0.168 0.126 0.078
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AS AT AU AV AW AX AY AZ BA BB
10. Calculate the arithmetic returns of the value-weighted portfolio.
AT2: = AN2*J2+AO2*K2+AP2*L2+AQ2*M2+AR2*N2
0.2884
0.0529
0.0086−0.1777−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AS AT AU AV AW AX AY AZ BA BB
10. Calculate the arithmetic returns of the value-weighted portfolio.
AT2: = AN2*J2+AO2*K2+AP2*L2+AQ2*M2+AR2*N2
0.2884
0.0529
0.0086−0.1777−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AS AT AU AV AW AX AY AZ BA BB
10. Calculate the arithmetic returns of the value-weighted portfolio.
AT2: = AN2*J2+AO2*K2+AP2*L2+AQ2*M2+AR2*N2
0.2884
0.0529
0.0086−0.1777−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
11. Calculate the logarithmic returns of the value-weighted portfolio.
AU2: = LN(1+AT2)
0.2534
0.0516
0.0087−0.1956−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
11. Calculate the logarithmic returns of the value-weighted portfolio.
AU2: = LN(1+AT2)
0.2534
0.0516
0.0087−0.1956−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
11. Calculate the logarithmic returns of the value-weighted portfolio.
AU2: = LN(1+AT2)
0.2534
0.0516
0.0087−0.1956−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
12. Calculate the arithmetic returns of the equally-weighted portfolio.
AW2: = SUM(J2:N2)/5
0.2884
0.0512
0.0190
0.1710−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
12. Calculate the arithmetic returns of the equally-weighted portfolio.
AW2: = SUM(J2:N2)/5
0.2884
0.0512
0.0190
0.1710−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
12. Calculate the arithmetic returns of the equally-weighted portfolio.
AW2: = SUM(J2:N2)/5
0.2884
0.0512
0.0190
0.1710−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
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67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
13. Calculate the logarithmic returns of the equally-weighted portfolio.
AX2: = LN(1+AW2)
0.2534
0.0500
0.0188
0.1875−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
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60
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AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
13. Calculate the logarithmic returns of the equally-weighted portfolio.
AX2: = LN(1+AW2)
0.2534
0.0500
0.0188
0.1875−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
13. Calculate the logarithmic returns of the equally-weighted portfolio.
AX2: = LN(1+AW2)
0.2534
0.0500
0.0188
0.1875−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
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AY AZ BA BB BC BD BE BF BG BH
14. Calculate the excess returns of the five stocks.
AZ2: = P2−$X2
0.1806 0.2336 0.3670 0.1460 0.3141
0.0058 0.0345− 0.0207 0.0627 0.1736
0.0380− 0.0462− 0.0733 0.0336− 0.1091
0.3823− 0.1626− 0.2084− 0.1482− 0.0799−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
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AY AZ BA BB BC BD BE BF BG BH
14. Calculate the excess returns of the five stocks.
AZ2: = P2−$X2
0.1806
0.2336 0.3670 0.1460 0.3141
0.0058 0.0345− 0.0207 0.0627 0.1736
0.0380− 0.0462− 0.0733 0.0336− 0.1091
0.3823− 0.1626− 0.2084− 0.1482− 0.0799−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
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64
65
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AY AZ BA BB BC BD BE BF BG BH
14. Calculate the excess returns of the five stocks.
AZ2: = P2−$X2
0.1806 0.2336 0.3670 0.1460 0.3141
0.0058 0.0345− 0.0207 0.0627 0.1736
0.0380− 0.0462− 0.0733 0.0336− 0.1091
0.3823− 0.1626− 0.2084− 0.1482− 0.0799−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
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BE BF BG BH BI BJ BK BL BM BN
15. Calculate the excess returns of the market portfolio.
BF2: = V2−$X2
0.0943
0.0263
0.0011−0.2073−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
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63
64
65
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BE BF BG BH BI BJ BK BL BM BN
15. Calculate the excess returns of the market portfolio.
BF2: = V2−$X2
0.0943
0.0263
0.0011−0.2073−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
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63
64
65
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BE BF BG BH BI BJ BK BL BM BN
15. Calculate the excess returns of the market portfolio.
BF2: = V2−$X2
0.0943
0.0263
0.0011−0.2073−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
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BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
16. Calculate the excess returns of the value-weighted portfolio.
BH2: = AU2−$X2
0.2516
0.0498
0.0124−0.1994−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
16. Calculate the excess returns of the value-weighted portfolio.
BH2: = AU2−$X2
0.2516
0.0498
0.0124−0.1994−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
16. Calculate the excess returns of the value-weighted portfolio.
BH2: = AU2−$X2
0.2516
0.0498
0.0124−0.1994−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
17. Calculate the excess returns of the equally-weighted portfolio.
BJ2: = AX2−$X2
0.2516
0.0482
0.0151
0.1913−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
17. Calculate the excess returns of the equally-weighted portfolio.
BJ2: = AX2−$X2
0.2516
0.0482
0.0151
0.1913−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
17. Calculate the excess returns of the equally-weighted portfolio.
BJ2: = AX2−$X2
0.2516
0.0482
0.0151
0.1913−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
18. Calculate the cumulative logarithmic returns of the five stocks.
P63: = 100*SUM(P2:P61)
35.16 142.30 41.40 18.23 23.03−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
18. Calculate the cumulative logarithmic returns of the five stocks.
P63: = 100*SUM(P2:P61)
35.16
142.30 41.40 18.23 23.03−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
18. Calculate the cumulative logarithmic returns of the five stocks.
P63: = 100*SUM(P2:P61)
35.16 142.30 41.40 18.23 23.03−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−
19. Calculate the average annual arithmetic returns of the five stocks.
P64: = 100*(EXP(P63/100/5)−1)
P64: = 100*(EXP(12*AVERAGE(P2:P61))−1)
7.29 32.92 8.63 3.71 4.50−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−
19. Calculate the average annual arithmetic returns of the five stocks.
P64: = 100*(EXP(P63/100/5)−1)
P64: = 100*(EXP(12*AVERAGE(P2:P61))−1)
7.29
32.92 8.63 3.71 4.50−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−
19. Calculate the average annual arithmetic returns of the five stocks.
P64: = 100*(EXP(P63/100/5)−1)
P64: = 100*(EXP(12*AVERAGE(P2:P61))−1)
7.29 32.92 8.63 3.71 4.50−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−7.29 32.92 8.63 3.71 4.50−
20. Calculate the volatilities of the five stocks.
P65: = 100*SQRT(12)*STDEV.S(P2:P61)
38.70 41.84 34.07 25.30 37.51
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−7.29 32.92 8.63 3.71 4.50−
20. Calculate the volatilities of the five stocks.
P65: = 100*SQRT(12)*STDEV.S(P2:P61)
38.70
41.84 34.07 25.30 37.51
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−7.29 32.92 8.63 3.71 4.50−
20. Calculate the volatilities of the five stocks.
P65: = 100*SQRT(12)*STDEV.S(P2:P61)
38.70 41.84 34.07 25.30 37.51
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−7.29 32.92 8.63 3.71 4.50−
38.70 41.84 34.07 25.30 37.51
21. Calculate the betas of the five stocks.
P66: = COVARIANCE.S(P2:P61;$V2:$V61)/VAR.S($V2:$V61)
1.10 1.38 0.88 0.55 0.56
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−7.29 32.92 8.63 3.71 4.50−
38.70 41.84 34.07 25.30 37.51
21. Calculate the betas of the five stocks.
P66: = COVARIANCE.S(P2:P61;$V2:$V61)/VAR.S($V2:$V61)
1.10
1.38 0.88 0.55 0.56
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
O P Q R S T U V W X
0.1823 0.2353 0.3687 0.1478 0.3159
0.0075 0.0328− 0.0224 0.0644 0.1754
0.0342− 0.0424− 0.0771 0.0298− 0.1128
0.3786− 0.1588− 0.2047− 0.1444− 0.0762−
35.16 142.30 41.40 18.23 23.03−7.29 32.92 8.63 3.71 4.50−
38.70 41.84 34.07 25.30 37.51
21. Calculate the betas of the five stocks.
P66: = COVARIANCE.S(P2:P61;$V2:$V61)/VAR.S($V2:$V61)
1.10 1.38 0.88 0.55 0.56
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
22. For the market portfolio . . . .
V63: = 100*SUM(V2:V61)
39.99
V64: = 100*(EXP(V63/100/5)−1)
8.33
V65: = 100*SQRT(12)*STDEV.S(V2:V61)
20.23
V66: = COVARIANCE.S(V2:V61;$V2:$V61)/VAR.S($V2:$V61)
1.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
22. For the market portfolio . . . .
V63: = 100*SUM(V2:V61)
39.99
V64: = 100*(EXP(V63/100/5)−1)
8.33
V65: = 100*SQRT(12)*STDEV.S(V2:V61)
20.23
V66: = COVARIANCE.S(V2:V61;$V2:$V61)/VAR.S($V2:$V61)
1.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
22. For the market portfolio . . . .
V63: = 100*SUM(V2:V61)
39.99
V64: = 100*(EXP(V63/100/5)−1)
8.33
V65: = 100*SQRT(12)*STDEV.S(V2:V61)
20.23
V66: = COVARIANCE.S(V2:V61;$V2:$V61)/VAR.S($V2:$V61)
1.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
22. For the market portfolio . . . .
V63: = 100*SUM(V2:V61)
39.99
V64: = 100*(EXP(V63/100/5)−1)
8.33
V65: = 100*SQRT(12)*STDEV.S(V2:V61)
20.23
V66: = COVARIANCE.S(V2:V61;$V2:$V61)/VAR.S($V2:$V61)
1.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
39.99
8.33
20.23
1.00
23. For the risk-free portfolio . . . .
X63: = 100*SUM(X2:X61)
14.96
X64: = 100*(EXP(X63/100/5)−1)
3.04
X65: = 100*SQRT(12)*STDEV.S(X2:X61)
0.28
X66: = COVARIANCE.S(X2:X61;$V2:$V61)/VAR.S($V2:$V61)
0.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
39.99
8.33
20.23
1.00
23. For the risk-free portfolio . . . .
X63: = 100*SUM(X2:X61)
14.96
X64: = 100*(EXP(X63/100/5)−1)
3.04
X65: = 100*SQRT(12)*STDEV.S(X2:X61)
0.28
X66: = COVARIANCE.S(X2:X61;$V2:$V61)/VAR.S($V2:$V61)
0.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
39.99
8.33
20.23
1.00
23. For the risk-free portfolio . . . .
X63: = 100*SUM(X2:X61)
14.96
X64: = 100*(EXP(X63/100/5)−1)
3.04
X65: = 100*SQRT(12)*STDEV.S(X2:X61)
0.28
X66: = COVARIANCE.S(X2:X61;$V2:$V61)/VAR.S($V2:$V61)
0.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
U V W X Y Z AA AB AC AD
0.0960
0.0280
0.0026
0.2035−
0.0017
0.0017
0.0037
0.0038
39.99
8.33
20.23
1.00
23. For the risk-free portfolio . . . .
X63: = 100*SUM(X2:X61)
14.96
X64: = 100*(EXP(X63/100/5)−1)
3.04
X65: = 100*SQRT(12)*STDEV.S(X2:X61)
0.28
X66: = COVARIANCE.S(X2:X61;$V2:$V61)/VAR.S($V2:$V61)
0.00
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
24. For the value-weighted portfolio . . .
AU63: = 100*SUM(AU2:AU61)
59.64
AU64: = 100*(EXP(AU63/100/5)−1)
12.67
AU65: = 100*SQRT(12)*STDEV.S(AU2:AU61)
26.53
AU66: = COVARIANCE.S(AU2:AU61;$V2:$V61)/VAR.S($V2:$V61)
0.97
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
24. For the value-weighted portfolio . . .
AU63: = 100*SUM(AU2:AU61)
59.64
AU64: = 100*(EXP(AU63/100/5)−1)
12.67
AU65: = 100*SQRT(12)*STDEV.S(AU2:AU61)
26.53
AU66: = COVARIANCE.S(AU2:AU61;$V2:$V61)/VAR.S($V2:$V61)
0.97
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
24. For the value-weighted portfolio . . .
AU63: = 100*SUM(AU2:AU61)
59.64
AU64: = 100*(EXP(AU63/100/5)−1)
12.67
AU65: = 100*SQRT(12)*STDEV.S(AU2:AU61)
26.53
AU66: = COVARIANCE.S(AU2:AU61;$V2:$V61)/VAR.S($V2:$V61)
0.97
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
24. For the value-weighted portfolio . . .
AU63: = 100*SUM(AU2:AU61)
59.64
AU64: = 100*(EXP(AU63/100/5)−1)
12.67
AU65: = 100*SQRT(12)*STDEV.S(AU2:AU61)
26.53
AU66: = COVARIANCE.S(AU2:AU61;$V2:$V61)/VAR.S($V2:$V61)
0.97
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
59.64
12.67
26.53
0.97
25. For the equally-weighted portfolio . . .
AX63: = 100*SUM(AX2:AX61)
59.73
AX64: = 100*(EXP(AX63/100/5)−1)
12.69
AX65: = 100*SQRT(12)*STDEV.S(AX2:AX61)
24.72
AX66: = COVARIANCE.S(AX2:AX61;$V2:$V61)/VAR.S($V2:$V61)
0.90
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
59.64
12.67
26.53
0.97
25. For the equally-weighted portfolio . . .
AX63: = 100*SUM(AX2:AX61)
59.73
AX64: = 100*(EXP(AX63/100/5)−1)
12.69
AX65: = 100*SQRT(12)*STDEV.S(AX2:AX61)
24.72
AX66: = COVARIANCE.S(AX2:AX61;$V2:$V61)/VAR.S($V2:$V61)
0.90
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
59.64
12.67
26.53
0.97
25. For the equally-weighted portfolio . . .
AX63: = 100*SUM(AX2:AX61)
59.73
AX64: = 100*(EXP(AX63/100/5)−1)
12.69
AX65: = 100*SQRT(12)*STDEV.S(AX2:AX61)
24.72
AX66: = COVARIANCE.S(AX2:AX61;$V2:$V61)/VAR.S($V2:$V61)
0.90
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AS AT AU AV AW AX AY AZ BA BB
0.2884
0.0529
0.0086−0.1777−
0.2534
0.0516
0.0087−0.1956−
0.2884
0.0512
0.0190
0.1710−
0.2534
0.0500
0.0188
0.1875−
59.64
12.67
26.53
0.97
25. For the equally-weighted portfolio . . .
AX63: = 100*SUM(AX2:AX61)
59.73
AX64: = 100*(EXP(AX63/100/5)−1)
12.69
AX65: = 100*SQRT(12)*STDEV.S(AX2:AX61)
24.72
AX66: = COVARIANCE.S(AX2:AX61;$V2:$V61)/VAR.S($V2:$V61)
0.90
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AY AZ BA BB BC BD BE BF BG BH
0.1806 0.2336 0.3670 0.1460 0.3141
0.0058 0.0345− 0.0207 0.0627 0.1736
0.0380− 0.0462− 0.0733 0.0336− 0.1091
0.3823− 0.1626− 0.2084− 0.1482− 0.0799−
26. Calculate the Sharpe ratios of the five stocks.
AZ63: = 12*AVERAGE(AZ2:AZ61)/(SQRT(12)*STDEV.S(AZ2:AZ61))
0.10 0.61 0.15 0.03 0.20−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AY AZ BA BB BC BD BE BF BG BH
0.1806 0.2336 0.3670 0.1460 0.3141
0.0058 0.0345− 0.0207 0.0627 0.1736
0.0380− 0.0462− 0.0733 0.0336− 0.1091
0.3823− 0.1626− 0.2084− 0.1482− 0.0799−
26. Calculate the Sharpe ratios of the five stocks.
AZ63: = 12*AVERAGE(AZ2:AZ61)/(SQRT(12)*STDEV.S(AZ2:AZ61))
0.10
0.61 0.15 0.03 0.20−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
AY AZ BA BB BC BD BE BF BG BH
0.1806 0.2336 0.3670 0.1460 0.3141
0.0058 0.0345− 0.0207 0.0627 0.1736
0.0380− 0.0462− 0.0733 0.0336− 0.1091
0.3823− 0.1626− 0.2084− 0.1482− 0.0799−
26. Calculate the Sharpe ratios of the five stocks.
AZ63: = 12*AVERAGE(AZ2:AZ61)/(SQRT(12)*STDEV.S(AZ2:AZ61))
0.10 0.61 0.15 0.03 0.20−
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
0.2516
0.0482
0.0151
0.1913−
27. For the market portfolio . . .
BF63: = 12*AVERAGE(BF2:BF61)/(SQRT(12)*STDEV.S(BF2:BF61))
0.25
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
0.2516
0.0482
0.0151
0.1913−
27. For the market portfolio . . .
BF63: = 12*AVERAGE(BF2:BF61)/(SQRT(12)*STDEV.S(BF2:BF61))
0.25
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
0.2516
0.0482
0.0151
0.1913−
0.25
28. For the value-weighted portfolio . . .
BH63: = 12*AVERAGE(BH2:BH61)/(SQRT(12)*STDEV.S(BH2:BH61))
0.34
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
0.2516
0.0482
0.0151
0.1913−
0.25
28. For the value-weighted portfolio . . .
BH63: = 12*AVERAGE(BH2:BH61)/(SQRT(12)*STDEV.S(BH2:BH61))
0.34
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
0.2516
0.0482
0.0151
0.1913−
0.25 0.34
29. For the equally-weighted portfolio . . .
BJ63: = 12*AVERAGE(BJ2:BJ61)/(SQRT(12)*STDEV.S(BJ2:BJ61))
0.36
Jukka Perttunen Fundamentals of finance
Course project – Problem 1
Problem 1
1
2
3
60
61
62
63
64
65
66
67
BE BF BG BH BI BJ BK BL BM BN
0.0943
0.0263
0.0011−0.2073−
0.2516
0.0498
0.0124−0.1994−
0.2516
0.0482
0.0151
0.1913−
0.25 0.34
29. For the equally-weighted portfolio . . .
BJ63: = 12*AVERAGE(BJ2:BJ61)/(SQRT(12)*STDEV.S(BJ2:BJ61))
0.36
Jukka Perttunen Fundamentals of finance