ch07multisecurity_i - Selected Dow Stock Portfolio A....

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Selected Dow Stock Portfolio A. Monthly Standard Deviation, Average Return, and Correlation Coefficients Selected Stocks from January 1994 to October 1999 Std. Dev Average Returns Returns CHV 5.24 1.44 DD 6.87 1.89 KO 6.73 1.99 IBM 8.50 3.72 MCD 6.5 1.8 PG 6.13 2.03 XON 4.67 1.43 WMT 7.8 2.12 Correlation Matrix CHV DD KO IBM MCD PG XON WMT CHV 1.00 0.44 0.09 0.29 0.26 0.08 0.62 0.19 DD 0.44 1.00 0.33 0.27 0.26 0.33 0.52 0.20 KO 0.09 0.33 1.00 0.20 0.32 0.62 0.35 0.41 IBM 0.29 0.27 0.20 1.00 0.36 0.20 0.35 0.13 MCD 0.26 0.26 0.32 0.36 1.00 0.48 0.32 0.38 PG 0.08 0.33 0.62 0.20 0.48 1.00 0.27 0.39 XON 0.62 0.52 0.35 0.35 0.32 0.27 1.00 0.08 WMT 0.19 0.20 0.41 0.13 0.38 0.39 0.08 1.00 B. Covariance Matrix: CHV DD KO IBM MCD PG XON WMT CHV 27.46 15.84 3.17 5.65 8.86 2.57 15.17 7.77 DD 15.84 47.20 15.26 6.90 11.61 13.90 16.68 10.72 KO 3.17 15.26 45.29 5.01 14.00 25.58 11.00 21.52 IBM 5.65 6.90 5.01 13.84 8.70 4.56 6.08 3.77 MCD 8.86 11.61 14.00 8.70 42.25 19.13 9.71 19.27 PG 2.57 13.90 25.58 4.56 19.13 37.58 7.73 18.65 XON 15.17 16.68 11.00 6.08 9.71 7.73 21.81 2.91 WMT 7.77 10.72 21.52 3.77 19.27 18.65 2.91 60.84 C. Bordered Covariance Matrix for the Equally Weighted Portfolio and Portfolio Variance: CHV DD KO IBM MCD PG XON WMT Weights 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.43 0.25 0.05 0.09 0.14 0.04 0.24 0.12 0.13 0.25 0.74 0.24 0.11 0.18 0.22 0.26 0.17 0.13 0.05 0.24 0.71 0.08 0.22 0.40 0.17 0.34 0.13 0.09 0.11 0.08 0.22 0.14 0.07 0.10 0.06 0.13 0.14 0.18 0.22 0.14 0.66 0.30 0.15 0.30 0.13 0.04 0.22 0.40 0.07 0.30 0.59 0.12 0.29 0.13 0.24 0.26 0.17 0.10 0.15 0.12 0.34 0.05 0.13 0.12 0.17 0.34 0.06 0.30 0.29 0.05 0.95 1.00 1.35 2.16
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This note was uploaded on 10/28/2009 for the course MBA MBA608 taught by Professor Martin during the Spring '09 term at Beirut Arab University.

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ch07multisecurity_i - Selected Dow Stock Portfolio A....

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