Download presentation

Presentation is loading. Please wait.

Published byJessie Duval Modified over 2 years ago

2
VARIANS DAN STANDAR DEVIASI PORTFOLIO Pertemuan 10 Matakuliah: F0892 - Analisis Kuantitatif Tahun: 2009

3
Bina Nusantara University 3 EXPECTED RETURN SINGLE SECURITY Expected return = Where R i is return and w i is the weighting of component asset i.

4
VARIANS PORTFOLIO Portfolio variance = where i≠j. Alternatively the expression can be written as: where ρ ij = 1 for i=j. Bina Nusantara University 4 Portfolio volatility=

5
For a two asset portfolio:- –Portfolio return= –Portfolio variance: Bina Nusantara University 5

6
6 The formula to compute the standard deviation of a portfolio of N securities is :

7
7-18 The standard deviation is the square root of the variance. Note that Hence, What is the correlation coefficient between a riskfree security and a stock? Zero! Therefore, the covariance between a riskfree security and a stock is also zero! What is the formula for the standard deviation of a portfolio with two securities (say, security 1 and security 2)? Note that X 2 =1- X 1, Hence,

9
Example You estimated that the standard deviations of General Electric and General Motors stocks are 18% and 31%, respectively. Also, you estimated that the correlation coefficient between the return of the two securities is 0.35. What is the standard deviation of a portfolio (including the two securities) with GE having a weight of 40%? The formula in the last slide for the standard deviation of a portfolio with two securities is

10
7-21 Note that the covariance between the returns of GE and GM is 0.01953 Hence, = 0,01953

Similar presentations

OK

COVARIANCE DAN CORRELATION PORTFOLIO Pertemuan 11 Matakuliah: F0892 - Analisis Kuantitatif Tahun: 2009.

COVARIANCE DAN CORRELATION PORTFOLIO Pertemuan 11 Matakuliah: F0892 - Analisis Kuantitatif Tahun: 2009.

© 2018 SlidePlayer.com Inc.

All rights reserved.

Ads by Google

Ppt on 21st century skills for 21st Ppt on right to information act 2005 Ppt on atrial septal defect in infants Ppt on network load balancing Ppt on business environment nature concept and significance of numbers Ppt on game theory economics Ppt on second law of thermodynamics evolution Ppt on gulliver's travels part 2 Ppt on team building and motivation Business ppt on flipkart india