Investment and Portfolio Management

In this assignment, students are expected to create a complete portfolio made up of two risky

assets in the forms of two Saudi shares trading at Tadawul, and one risk-free asset in the form

of 4-week SAMA bill. This assignment is individual based and should submitted on

blackboard on 18-April-2022.

Using excel, students should:

1) Find the expected return, variance, standard deviation for each stock using historical

data from 2010-2019.

2) Determine the correlation and covariance between the two stocks.

3) Find the beta of each stock in relation to the market index TASI.

o β=

Cov(s,m)

Var(m)

4) Find the portfolio’s expected return, variance, standard deviations, and sharp ratio by

varying weights between stock1 and stock2.

5) Using the Solver tool in excel, find the minimum-variance portfolio and optimal

portfolio.

6) Find the complete portfolio assuming risk-free rate of 4-week SAMA bill average:

o http://www.sama.gov.sa/en-US/GovtSecurity/pages/SAMABills.aspx

7) Graph the above results.

Summary Report: students should provide a report detailing the reasons for choosing the

two risky assets and covering the above graph and end-results.

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