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:
Find the expected return, variance, standard deviation for each stock using historical data from 2010-2019.
Determine the correlation and covariance between the two stocks.
Find the beta of each stock in relation to the market index TASI.
β= (Cov (s,m))/(Var (m))
Find the portfolio’s expected return, variance, standard deviations, and sharp ratio by varying weights between stock1 and stock2.
Using the Solver tool in excel, find the minimum-variance portfolio and optimal portfolio.
Find the complete portfolio assuming risk-free rate of 4-week SAMA bill average:
http://www.sama.gov.sa/en-US/GovtSecurity/pages/SAMABills.aspx
Graph the above results.