FINC6366Project2-CovarianceandCorrelation1.xlsx

FINC 6366 – Project 2

FINC 6366 – Project 2 – Covariance and Correlation
Name	Alexis	Giusti
State of Economy	Probability	Return for Stock A	Return for Stock B	Return for Stock C	Return for Stock D	Return for Stock E	Return for Stock F
Growth	0.25	31%	3%	15%	21%	0%	18%
Status Quo	0.50	21%	1%	3%	7%	4%	3%
Recession	0.25	20%	4%	-5%	-6%	6%	-4%
A) Expected Returns
E[RA]	E[RB]	E[RC]	E[RD]	E[RE]	E[RF]
B) Standard Deviations
σA	σB	σC	σD	σE	σF
C) Portfolio AB
WA	WB	CovAB	CorrAB	E[RAB]	σAB
D) Portfolio CD
WC	WD	CovCD	CorrCD	E[RCD]	σCD
E) Portfolio EF
WE	WF	CovEF	CorrEF	E[REF]	σEF