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Portfolio Risk-Return Analysis

The document provides instructions for analyzing the risk-return trade-off of portfolios containing large stocks and long-term Treasury bonds over the last 20 years. Students are told to copy historic return data from an online textbook into a new spreadsheet, then calculate the average return and standard deviation of the individual assets as well as portfolios with varying weights over time. They should also determine the minimum-variance combination of stocks and bonds.

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Muhammad Shahid
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71 views1 page

Portfolio Risk-Return Analysis

The document provides instructions for analyzing the risk-return trade-off of portfolios containing large stocks and long-term Treasury bonds over the last 20 years. Students are told to copy historic return data from an online textbook into a new spreadsheet, then calculate the average return and standard deviation of the individual assets as well as portfolios with varying weights over time. They should also determine the minimum-variance combination of stocks and bonds.

Uploaded by

Muhammad Shahid
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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You can find a spreadsheet containing the historic returns

presented #6537
You can find a spreadsheet containing the historic returns presented in Table 5.2 on the text's
website at www.mhhe.com/bkm. (Look for the link to Chapter 5 material.) Copy the data for the
last 20 years into a new spreadsheet. Analyze the risk-return trade-off that would have
characterized portfolios constructed from large stocks and long-term Treasury bonds over the
last 20 years. What was the average rate of return and standard deviation of each asset? What
was the correlation coefficient of their annual returns? What would have been the average
return and standard deviation of portfolios with differing weights in the two assets? For example,
consider weights in stocks starting at zero and incrementing by .10 up to a weight of 1. What
was the average return and standard deviation of the minimum-variance combination of stocks
and bonds?View Solution:
You can find a spreadsheet containing the historic returns presented

ANSWER
http://paperinstant.com/downloads/you-can-find-a-spreadsheet-containing-the-historic-returns-
presented/

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