Data_analysis2 - Finance 367 Professor Bing Han Spring 2008...

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Finance 367 Professor Bing Han Spring 2008 Data Analysis #2 The data you need to do this problem set is contained in an Excel file named DataPS1.xls which contains the series of historical holding period returns in the text in Table 5.3. (for your convenience, the data is presented in DataPS.xls as well as the raw_data worksheet of Data_Analysis1_Answerkey.xls) 1. Consider a portfolio, named Portfolio20B, which consists of 20% long term T- bonds and 80% large stocks. Construct the series of returns that you would have received on this portfolio for the period 1926-2001 by using Excel to calculate the return to Portfolio20B as a weighted average of the returns to long term bonds and large stocks (with weights .2 on long term bonds and .8 on large stocks). Store your series for the return to Portfolio20B as an additional column in the Excel worksheet that contains the data on the historical returns on the indices. Similarly, consider a portfolio, named Portfolio40B, which consists of 40% long term T- bonds and 60% large stocks, and construct a series for the return to Portfolio40B for the period 1926-2001, storing the series as an additional column in the worksheet. For each of the following data series: long term T-bonds, large stocks, small stocks, Portfolio20B, Portfolio40B, and T-bills, have Excel calculate the following sample statistics for the 1926-2001 sample period: a) mean holding period return (that is, the arithmetic average) b) the standard deviation of the holding period return Report your results for this question by printing out a table with 6 columns (one for each of the six asset return series) and two rows, reporting the estimated mean
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This note was uploaded on 05/10/2008 for the course FIN 367 taught by Professor Han during the Spring '08 term at University of Texas at Austin.

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Data_analysis2 - Finance 367 Professor Bing Han Spring 2008...

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