**Expected Return and Variance of Portfolio in Excel YouTube**

Definition. In statistics, covariance is a metric used to measure how one random variable moves in relation to another random variable. In investment, covariance of returns measures how the rate of return on one asset varies in relation to the rate of return on other assets or a portfolio.... To find the expected return (or value-relative) for a portfolio, multiply the expected returns (or value-relatives) in vector e by the exposures to the assets in vector x. Whatever the application, the relationship between the expected outcome of a portfolio and the expected outcomes for its components is relatively simple and intuitive.

**Chapter 5 JOINT PROBABILITY DISTRIBUTIONS Part 2**

From the Expected Return and Measures of Risk pages we know that the expected return on Stock A is 12.5%, the expected return on Stock B is 20%, the variance on Stock A is .00263, the variance on Stock B is .04200, the standard deviation on Stock S is 5.12%, and …... To find the expected return (or value-relative) for a portfolio, multiply the expected returns (or value-relatives) in vector e by the exposures to the assets in vector x. Whatever the application, the relationship between the expected outcome of a portfolio and the expected outcomes for its components is relatively simple and intuitive.

**Factor-based Expected Returns Risks and Correlations**

The covariance is an absolute measure of movement and is measured in return units squared. A stock has an expected return of 4% with a standard deviation of returns of 6%. A bond has an expected return of 4% with a standard deviation of 7%.... Capital Allocation Line (CAL) and Optimal Portfolio. The Capital Allocation Line (CAL) is a line that graphically depicts the risk-and-reward profile of risky assets, and can be used to find …

**42. Portfolio Risk and Return 1 (Web + Sch Note**

where [] is the expected value of , also known as the mean of . The covariance is also sometimes denoted or (,), in analogy to variance. By using the linearity property of expectations, this can be simplified to the expected value of their product minus the product of their expected values:... The expected return on an investment is the expected value of the probability distribution of possible returns it can provide to investors. The return on the investment is an unknown variable that has different values associated with different probabilities. This guide …

## How To Find The Expected Return With The Covariance

### Factor-based Expected Returns Risks and Correlations

- How to calculate Expected Return Variance Standard
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## How To Find The Expected Return With The Covariance

### Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk.

- Normally, a risk manager will have access to historical return data for each asset, so only a few lines of code are required to calculate expected returns, variances, and covariances. Still, the point that a great deal of data is needed before one can even approach calculating a …
- The above equilibrium model for portfolio analysis is called the Capital Asset Pricing Model It tells us the expected return of any eﬃcient portfolio, in terms of its standard deviation, and does so by use of the so-called price of risk r M −r f σ M, (2) the slope of the line, which represents the change in expected return r per one-unit change in standard deviation σ. If an
- 16/03/2011 · An analyst may wish to calculate the standard deviation of historical returns on a stock or a portfolio as a measure of the investment’s riskiness. The higher the standard deviation of an investment’s returns, the greater the relative riskiness because of uncertainty in the amount of return. or The square root of the variance.
- FINM7006: Foundations of Finance 2 Question Three Suppose assets C and D have expected returns and standard deviations as follows: Asset Expected Return (E(R)) Standard Deviation (σ) C 12% 10% D 8% 8% The returns of the two assets have a correlation of 0.5.

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