PORTFOLIO THEORY – ASSIGNMENT 1
Dr. Andrea Rigamonti
Consider the five stocks from the dataset you were assigned.
1) Create a scatterplot with the standard deviation on the horizontal axis and the mean return
on the vertical axis for each stock.
2) Compute the mean and standard deviation of a portfolio with the following weights:
0.3, −0.1, 0.4, 0.1, 0.3
3) Add the portfolio to the scatterplot.
4) Compute the evolution of the value of this portfolio over time assuming we invested a unit
of wealth one month before the time of the first return.
5) Plot this wealth dynamics in a graph.
6) Compute the monthly real returns (i.e., accounting for the inflation) of the portfolio.
7) Plot the evolution of the real wealth of the portfolio over time.
8) Compute the beta of each single stock and the beta of the portfolio.
9) Compute the expected return of the single stocks and of the portfolio according to CAPM.
10) Plot the capital market line and the security market line. In both plots show where the single
stocks and the portfolio stand.
The necessary data are provided in the file “assignment_dataset.RData”, which can be downloaded
from the online folder that contains the course material.
The student has to write a report (you can use Microsoft Word and then export it in PDF) to illustrate
the results obtained with the R code. The report must contain the most important numeric results
(e.g., a table with the mean, standard deviation, beta, and expected return according to CAPM of
the single stocks and of the portfolio) and the plots, with some short comment to give them context.
Both the R code and the report have to be uploaded in the Homework Vault by midnight of April 2.
You can use any aid to write the R code, including working together with other students, but you
must write the report on your own.
See next page for the set of five stocks assigned to each student.
STUDENT ID STUDENT NAME STOCK 1 STOCK2 STOCK 3 STOCK 4 STOCK 5
533309 Abidi, Hamdi ADSK AXP BIIB CHRW PCAR
544134 Ahmad, Muhammad ADI DD GE REGN VEON
533377 Çoban, Ali Berk AMAT CVX INTC LRCX WBA
546128 Dadzie, Emmanuel CAT CMCSA FAST ROST SRCL
556298 Dalil, Chaima BMRN KLAC ORLY SRCL VEON
556752 El feddali, Aymane COST GILD HD INTU TXN
543393 Elizer, Archecard Josue ADBE CHKP GE KO ORLY
556314 Guin, Supriya CHKP FISV INCY INTC VEON
520714 Hossain, Md Shepon DD GILD MAR TRV WDC
546172 Choudhary, Vishal GS INCY SBAC SIRI SWKS
533365 Khan, Sumaila ADSK AMGN INTU MCD UNH
545749 Khouaja, Waeil CTSH ORLY QCOM VOD WBA
547427 Kolomiiets, Polina CAT DD NTAP SIRI TSCO
556296 Lum Mafor, Nora CHRW GS IBM SBUX TXN
546195 Meftun, Feridun Batu ADSK AMGN AMZN CVX EBAY
546204 Mia, Md Rubel CHRW GE KO MAR MNST
546168 Mishu, Taslima Rahman BIIB CHKP COST EXPD PG
556305 Myat, Aye Thiri ADI CHKP MAT NVDA VOD
556316 Nascimento Vianna, Cecilia CAT CVX HSIC KLAC PAYX
546206 Osayawe, Isio Sarah AMZN BA MU NLOK XOM
556287 Oyeyele, Funmilayo ADP CAT CHKP KLAC NLOK
528037 Shiroiya, Darshit Jayesh CMCSA GS MAR PAYX SIRI
546144 Yosra, Touirtou CHRW COST SBAC WMT XOM
546231 Zafar, Mutahar ADSK AKAM MSFT SBAC XOM