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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