Calculate the mean and volatility of this portfolio

Reference no: EM132199642

Question - Download monthly stock prices for three companies from S&P 500 index (the list of companies is available on wikipedia) for the 1/1/2012 - 1/1/2017 period and calculate the return on adjusted price series for each company.

a. Report the mean, volatilities and pairwise correlations of the returns.

b. Consider a portfolio with $10 short position on the first company, $30 long position on the second company and $40 long position on the third company. Using the moments in (a), calculate the mean and volatility of this portfolio.

c. Download the prices of the index S&P 500 (ticker GSPC) and calculate the return on the market. Find the correlation of the market return with the return of each company. Find the beta of each company. Compare these betas with betas reported on Yahoo Finance.

Reference no: EM132199642

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