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