Calculate the expected return (), the standard deviation (p), and the coefficien

Question

Calculate the expected return (), the standard deviation (p), and the coefficient of variation (CVp) for the portfolio profiled in Table 1. Provide your answers with calculations.I am having trouble using excel to figure out the standard deviation, coefficient of variation and beta. Please help I have to do this in excel.

The Table is as follows:

Prob. T-bills Alta Inds. Repo Men Am. Foam Market Portfolio 2-Stock Portfolio Recession 0.1 6% -22% 28% 10% -13% 3% Below Average 0.2 6% -2% 14.7% -10% 1% Average 0.4 6% 20% 0% 7% 15% 10% Above Average 0.2 6% 35% -10% 45% 29% Boom 0.1 6% 50% -20% 30% 43% 15% r-hat 6% 17.40% 1.74% 13.80% 15.00% 5.80% Std. dev 0 13.4 18.8 Coef. of var. 8.2 1.6 beta 0 -0.9 0.93

Explanation / Answer

Prob. T-bills Expexted Return Alta Inds. Expexted Return Repo Men Expexted Return Am. Foam Expexted Return Market Portfolio Expexted Return 2-Stock Portfolio Expexted Return P T P*T A P*A R P*R Am P*Am M P*M SP P*SP Recession 0.1 6% 0.60% -22% -2.20% 28% 2.80% 10% 1.00% -13% -1.30% 3% 0.30% Below Average 0.2 6% 1.20% -2% -0.40% 14.70% 2.94% -10% -2.00% 1% 0.20% Average 0.4 6% 2.40% 20% 8.00% 0% 0.00% 7% 2.80% 15% 6.00% 10% 4.00% Above Average 0.2 6% 1.20% 35% 7.00% -10% -2.00% 45% 9.00% 29% 5.80% Boom 0.1 6% 0.60% 50% 5.00% -20% -2.00% 30% 3.00% 43% 4.30% 15% 1.50% Expected Return(Mean) 6.00% 17.40% 1.74% 13.80% 15.00% 5.80% Mean Square 0.36% 3.03% 0.03% 1.90% 2.25% 0.34% Squares of rates-Table Prob. T-bills Alta Inds. Repo Men Am. Foam Market Portfolio 2-Stock Portfolio Recession 0.1 0.36% 4.84% 7.84% 1.00% 1.69% 0.09% Below Average 0.2 0.36% 0.04% 2.16% 1.00% 0.01% Average 0.4 0.36% 4.00% 0.00% 0.49% 2.25% 1.00% Above Average 0.2 0.36% 12.25% 1.00% 20.25% 8.41% Boom 0.1 0.36% 25.00% 4.00% 9.00% 18.49% 2.25% Multiplication with Prob Prob. T-bills Alta Inds. Repo Men Am. Foam Market Portfolio 2-Stock Portfolio Recession 0.1 0.04% 0.48% 0.78% 0.10% 0.17% 0.01% Below Average 0.2 0.07% 0.01% 0.43% 0.20% 0.00% Average 0.4 0.14% 1.60% 0.00% 0.20% 0.90% 0.40% Above Average 0.2 0.07% 2.45% 0.20% 4.05% 1.68% Boom 0.1 0.04% 2.50% 0.40% 0.90% 1.85% 0.23% Sum 0.36% 7.04% 1.82% 5.45% 4.60% 0.63% Extracting Mean square from Sum of multiplication table - Variance Prob. T-bills Alta Inds. Repo Men Am. Foam Market Portfolio 2-Stock Portfolio Variance 0.00% 4.01% 1.79% 3.54% 2.35% 0.30% Std Deviation = Sqr Root of Variance 0.00% 2.01% 0.89% 1.77% 1.18% 0.15% COV = SD/Mean 0.00 0.12 0.51 0.13 0.08 0.03 Beta 0.00 1.27 -0.47 0.87 1.00 -0.02 Ex Return 6.00% 17.40% 1.74% 13.80% 15.00% 5.80% As per Capm ER = risk free rate + Beta(Market risk premium) Beta = ER-RF/market risk premium RF 6% Market Premium 9%

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