chapter ：statistics for portfolios

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1、CHAPTER11：STATISTICSFORPORTFOLIOS*CHAPTER11:STATISTICSFORPORTFOLIOSthisversion:July11,2003ChaptercontentsOverview.........................................................................................................................................111.1.Basicstatisticsforas

2、setreturns:mean,standarddeviation,covariance,andcorrelation....211.2.Downloadeddatafromcommercialsourcesisadjustedfordividendsandsplits..............1211.3Covarianceandcorrelation—twoadditionalstatistics........................................................1411.4.Portfoliom

3、eanandvarianceforatwo-assetportfolio........................................................2211.5.Usingregressions................................................................................................................2611.6.Advancedsection:portfoliostatisticsformult

4、ipleassets..................................................35Conclusionandsummary..............................................................................................................38Exercises.........................................................................

5、..............................................................39Appendix:DownloadingdatafromYahoo..................................................................................55OverviewInordertounderstandandworkthroughChapters12–15,youwillneedtoknowsomestatistics.Ifyou’re

6、likealotoffinancestudents,you’vehadastatisticscourseandforgottenmuchofwhatyoulearnedthere.Thischapterisarefresher—itshowyouexactlywhatyouneed*Notice:ThisisapreliminarydraftofachapterofPrinciplesofFinancewithExcelbySimonBenninga(benninga@wharton.upenn.edu).Checkwiththeauthorbe

7、foredistributingthisdraft(thoughyouwillprobablygetpermission).Makesurethematerialisupdatedbeforedistributingit.Allthematerialiscopyrightandtherightsbelongtotheauthor.PFE,Chapter11:Statisticschapterpage1inordertoproceedwiththesucceedingchapters,usingExceltodoallthecalculations

8、.(Excelisagreatstatisticaltoolbox—somedayallbusiness-schoolstatistic