Consider daily adjusted closing prices of The Boeing Company (BA), The Walt Disney Company (DIS),...
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Consider daily adjusted closing prices of The Boeing Company (BA), The Walt Disney Company (DIS), Merck & Co., Inc. (MRK) from January 2, 2019 to January 2, 2020 as historical data. We assume that these stocks are pairwise uncorrelated.
- Using Excel, find the expected daily rates of return and standard deviation of daily rates of return for each of these stocks.
- Suppose that at the end of the trading day on January 3, 2020, you want to build a portfolio with these three stocks. Find the weights of the Minimum Variance portfolio. Moreover, if on that date you have $1,000,000, deduce the number of shares of each of these stocks you will have in your portfolio.
- Find the variance and the expected return of the Minimum Variance portfolio
- Using the adjusted closing prices on June 30, 2020 nd the market value of your portfolio and the rate of return of your investment.
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